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Research

Risk parity and beyond

This paper analyses whether the use of uncorrelated underlying risk factors, as opposed to correlated asset returns, can lead to a more efficient framework for measuring and managing portfolio diversification. The paper, by academics at EDHEC Business School and SYMMYS, acknowledges that the ability to construct well-diversified portfolios is a challenge of critical importance in […]
Amanda WhiteApril 9, 2014
Research

Latest research

A study comparing the performance of equal-, value-, and price-weighted portfolios of stocks in the major US equity indices over the last four decades has won a prestigious award. Raman Uppal, Member of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, along with co-authors Grigory Vilkov and Yuliya Plyakha, both of Goethe University […]
 March 28, 2012
Uncategorised posts

How sovereign risk hits equities

The severe impact of the European debt crisis on financial markets has spurred EDHEC-Risk Institute to investigate whether equity investors can earn a premium through sovereign risk. Professor Nöel Amenc, EDHEC-Risk Institute director, speaks about the emergence of what could be a new risk factor and other research focusing on Asia.
SIMON MUMMENovember 9, 2011
Uncategorised posts

Robin Hood had it so simple

A Maid Marian of sorts, I like the idea of taking from the rich to give to the poor, and I certainly believe in a low-carbon economy, so it’s pleasing to see momentum building for the causes behind a financial transaction tax in Europe and the UK. But I’m not convinced such a tax is […]
Amanda WhiteJuly 20, 2011
Research

Accounting and sponsor risks in corporate pension plans

This study by EDHEC surveys how pension funds and sponsors manage the risks they face and how institutional constraints – accounting and prudential regulations, the organisation of the relationship between the pension fund and its sponsor, and social laws – influence investment strategy.
Amanda WhiteMarch 30, 2011
Uncategorised posts

Diversification is not enough for managing risk

Diversification alone is not enough to manage downside risk, rather academic research in dynamic portfolio theory suggests the three complementary techniques of diversification, hedging, and insurance can be used together to design customised investment solutions, that ultimately separate assets into performance seeking portfolios and liability hedging portfolios, according to EDHEC’s Felix Goltz and Stoyan Stoyanov. […]
 December 1, 2010
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