CONTACT
E-mail : research@drd.edhec.edu
Tel.: +33 (0)4 93 18 32 53

 

 

Since 2001, EDHEC Business School has been pursuing an ambitious policy in terms of practically relevant academic research. This policy, known as “Research for Business”, aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results. Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of EDHEC-Risk Institute, which has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors.

This institute now boasts a team of close to 50 permanent professors, engineers and support staff, as well as 34 research associates from the financial industry and affiliate professors. EDHEC-Risk Institute is located at campuses in Singapore, which was established at the invitation of the Monetary Authority of Singapore (MAS); the City of London in the United Kingdom; Nice and Paris in France. The philosophy of the institute is to validate its work by publication in prestigious academic journals, but also to make it available to professionals and to participate in industry debate through its Position Papers, published studies and global conferences.

To ensure the distribution of its research to the industry, EDHEC-Risk also provides professionals with access to its website, www.edhec-risk.com, which is entirely devoted to international risk and asset management research. The website, which has more than 70,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC-Risk’s analysis and expertise in the area of applied portfolio management research. Its quarterly newsletter is distributed to more than 1.5 million readers.

EDHEC-Risk Institute also has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London.

In 2012, EDHEC-Risk Institute signed two strategic partnership agreements, with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of asset-liability management for institutions and individuals, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of risk and investment management.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
 

EDHEC-Risk Institute Website

 

The centre currently has six research programmes:

 

Multi-style/multi-class Allocation

The research carried out focuses on the benefits, risks and integration methods of the alternative class in asset allocation. From that perspective, Edhec is making a significant contribution to the research conducted in the area of multi-style/multi-class portfolio construction.

 

 

 

Performance and style analysis

The scientific goal of the research is to adapt the portfolio performance and style analysis models and methods to tactical allocation. The results of the research carried out by EDHEC thereby allow portfolio alphas to be measured not only for stock picking but also for style timing.

 

 

 

 

Indices and benchmarking

Edhec carries out analyses of the quality of indices and the criteria for choosing indices for institutional investors. Edhec also proposes an original proprietary style index construction methodology for both the traditional and alternative universes. These indices are intended to be a response to the critiques relating to the lack of representativity of the style indices that are available on the market. Edhec was the first to launch composite hedge fund strategy indices as early as 2003.

 

 

 

 

Best execution and operational performance

Development of a complete framework for measuring transaction costs: EBEX (Estimated Best Execution); development of the existing framework for specific situations (constrained orders, listed derivatives, etc.); risk-adjusted performance measurement of execution strategies; analysis of market impact and opportunity costs on listed derivatives order books; impact of explicit and implicit transaction costs on portfolio performances; and the impact of market fragmentation resulting from MiFID on the quality of execution in European listed securities markets.

 

 

 

 

Asset Allocation and derivative instruments

This research programme focuses on the usefulness of employing derivative instruments in the area of portfolio construction, whether it involves implementing active portfolio allocation or replicating indices. "Passive" replication of "active" hedge fund indices through portfolios of derivative instruments is a key area in the research carried out by EDHEC.

 

 

 

 

ALM and Asset Management

This programme concentrates on the application of recent research in the area of asset-liability management for pension plans and insurance companies. The research centre is working on the idea that improving asset management techniques and particularly strategic allocation techniques has a positive impact on the performance of Asset-Liability Management programmes. The programme includes research on the benefits of alternative investments, such as hedge funds, in long-term portfolio management. Particular attention is given to the institutional context of ALM and notably the integration of the impact of the IFRS standards and the Solvency II directive project.

 

 

 

 

Journal of Derivatives Summer 2017, Vol. 24, No. 4: pp. 80-92
Academic publication
Vincenzo Russo
,
Frank J. Fabozzi
2017
Managerial Finance Vol. 43 N° 6 pp. 679 - 699
Academic publication
Milos Vulanovic
2017
The present survey aims to provide insights into investor perceptions on exchange-traded funds (ETFs) and smart beta strategies. While there is ample...
EDHEC Publication
Noël Amenc
,
Felix Goltz
,
Véronique Le Sourd
2017
This study shows that goal-based investing principles can be used to design scalable retirement investment strategies that meet individual investors...
EDHEC Publication
Lionel Martellini
,
Vincent Milhau
2017
Financial Markets and Portfolio Management - May 2017, Volume 31, Issue 2, pp 137–179
Academic publication
Frédéric Blanc-Brude
,
Timothy Whittaker
,
Simon Wilde
2017
The Journal of Fixed Income - Spring 2017, Vol. 26, No. 4: pp. 113-127
Academic publication
Majid Hasan
,
Frédéric Blanc-Brude
2017
Review of Finance - (2017) 21 (3): 1159-1188.
Academic publication
Adrian Fernandez-Perez,
,
Ana-Maria Fuertes
,
Joelle Miffre
2017
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...
Working paper
Adrian Fernández-Pérez
,
Bart Frijns
,
Ana-Maria Fuertes
,
Joëlle Miffre
2017
Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of...
Working paper
Hilary Till
2017
This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...
Working paper
Joëlle Miffre
2017
CAMBRIDGE UNIVERSITY PRESS
Book
Riccardo Rebonato
2017
Journal of Investing
Academic publication
Riccardo Rebonato, PhD
2017
Quantitative Finance
Academic publication
Jang Ho Kim
,
Woo Chang Kim
,
Frank J. Fabozzi, PhD
2017
An important issue with smart beta strategies is that they typically entail higher replication costs than cap-weighted market indices. While this is...
EDHEC Publication
Mikheil Esakia
,
Felix Goltz
,
Sivagaminathan Sivasubramanian
,
Jakub Ulahel
2017
Finance Research Letters, Volume 20, February 2017, Pages 35–39
Academic publication
Frank J. Fabozzi
,
Mike E. Nawas
,
Dennis Vink
2017
The Journal of Derivatives, Winter 2016, Vol. 24, No. 2: pp. 48-65
Academic publication
Dominic O’Kane
2017
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 37-49
Academic publication
Guillaume Coqueret
,
Lionel Martellini
,
Vincent Milhau
2017
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151
Academic publication
Ahmet K. Karagozoglu
,
Frank J. Fabozzi
2017
Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common...
EDHEC Publication
Kevin Giron
,
Lionel Martellini
,
Vincent Milhau
2016
The aim of this study was to analyse the usage of exchange-traded funds (ETFs) in investment management and to give a detailed account of the current...
EDHEC Publication
Noël Amenc
,
Felix Goltz
,
Véronique Le Sourd
2016

Pages

 

See Also

EDHEC consolidates its position as a world-leading school for business and entrepreneurship
- 03-07-2017
Founded by entrepreneurs, EDHEC has embraced the fundamental values of business for...
Station F successfully inaugurated in the presence of Emmanuel Macron and EDHEC
- 29-06-2017
EDHEC announced this May that it had joined Station F, the world’s biggest start-up...
- 22-06-2017
Peter Daly and Dennis Davy, professors at EDHEC Business School specialised in Language...
Financial Times ranking 2017: #1 Master in Finance Worldwide
- 19-06-2017
EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance...