A Long Road Ahead for Portfolio Construction: Practitioners’ Views of an EDHEC Survey

The EDHEC European Investment Practices Survey 2008 (EDHEC 2008) sheds light on current practices in the industry and compares these practices with the recent state of the art as described in the investment literature.

Author(s) :

Felix Goltz

Head of applied research at the EDHEC Risk and Asset Management Research Centre.

The results of the survey show that the industry does not fully exploit a number of proven portfolio optimisation techniques that research has made readily available, such as management of extreme risks, improved covariance estimation or Bayesian and resampling techniques. We called for reactions to these results; the objective was to get feedback from the European industry on the results of the survey. This feedback seems important to us for two reasons. First, we would like to know how the results of the survey and their usefulness are perceived by industry practitioners. Second, we are interested in explanations and perspective on our results.
Pdf
A Long Road Ahead for Portfolio Construction: Practitioners’ Views of an EDHEC...
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Type : EDHEC Publication
Date : le 26/01/2009
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault, Direction de la recherche de l'EDHEC [ severine.anjubault@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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