EDHEC-Risk Introduces A Comprehensive Investment Framework Blending Liability-Driven Investing and Factor Investing

"To explain what role factors can play in liability-driven investing is the purpose of a new EDHEC-Risk Institute publication entitled “Factor Investing in Liability­Driven and Goal­Based Inves ...

Cited As:

EDHEC-Risk Institute

"To explain what role factors can play in liability-driven investing is the purpose of a new EDHEC-Risk Institute publication entitled “Factor Investing in Liability­Driven and Goal­Based Investment Solutions”, conducted as part of the “ETF, Indexing and Smart Beta Investment Strategies” research chair supported by Amundi. Specifically, the authors analyse the benefits of a factor investing approach at three stages: 1. The construction of a performance-seeking portfolio that efficiently harvests factor risk premia across and within asset classes; 2. The construction of a liability-hedging portfolio that replicates as closely as possible factor exposures driving changes in the present value of liabilities; 3. The joint measurement and management of common factor exposures in performance-seeking and liability-hedging portfolios so as to improve the interaction between the two building blocks."

Type: Press article
Date: le 05/03/2020
Research Cluster : Finance
Source : Mondovisione

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