"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 ...
"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 |
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Date: | le 05/03/2020 |
Research Cluster : | Finance |
Source : | Mondovisione |