EDHEC-Risk Institute

Financial Risk Management Research Centre

 

CONTACT
E-mail : research@edhec-risk.com
Tel.: +33 (0)4 93 18 32 78 87

 

 

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 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 200,000 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 seven research programmes:

 

Investment solutions in institutional and individual money management

The research conducted in this program relates to the design of novel welfare-improving forms of investment solutions for institutions and individuals. EDHEC-Risk Institute ambitions to develop strategic partnerships with investment managers worldwide for the launch and promotion of meaningful mass-customized investment solutions for individuals.

On the institutional side, this research program has benefitted from support from the industry for research chairs on dynamic liability-driven investment solutions, on improved methods for inflation-linked liability hedging, and on asset-liability management techniques for sovereign wealth fund management. On the individual side, this research program has benefitted from support from the industry for research chairs on risk allocation goals-based investing, on ALM for individuals, and on improved forms of target date funds.

EDHEC-Risk Institute ambitions to develop strategic partnerships with investment managers worldwide for the launch and promotion of meaningful mass-customized investment solutions for individuals.

Equity risk premia in investment solutions

An efficient harvesting of risk premia in equity markets is a key component in the design on meaningful investment solutions for institutions and individuals.

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.

Fixed-income risk premia in investment solutions

Fixed-income investing is a strategic area of development for EDHEC-Risk Institute, with a number of increasing relevant questions for investors, including smart harvesting of interest rate and credit risk premia, the impact of a zero-interest rate environment on bond portfolio management, or efficient interest rate risk management in retirement investing solutions.

This research program is led by some of world very best experts in the area of fixed-income securities, starting with Riccardo Rebonato, a world leading expert in interest rate risk modelling and management, Frank J. Fabozzi, author and editor of over one hundred reference textbooks in finance, and the eponymous manager of an authoritative series of finance books for practitioners and academics in numerous fields including fixed income analytics, financial modeling, mortgage-backed securities, municipal bonds, credit derivatives, and financial statement analysis, Dominic O'Kane, a specialist in credit modelling, derivative pricing and risk-management who was Head of Fixed Income Quantitative Research for 9 years at Lehman Brothers, and Lionel Martellini, who has co-authored reference textbooks in fixed-income investment strategies.

Alternative risk premia in investment solutions 

The research carried out focuses on the benefits, risks, and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC-Risk research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions.

As part of this research program, EDHEC Risk Institute maintains a series of hedge fund indices as well as a real estate index for the French commercial property market produced in cooperation with IEIF.

Multi-Asset Multi-Factor investment solutions

For more than fifty years, the investment industry has mostly focused on security selection as the main source of added value. This focus on security selection has somewhat distracted the industry from another key source of added value, namely asset allocation decisions. In the face of recent crises, and given the intrinsic difficulty of delivering added value through security selection decisions alone, the relevance of the old paradigm has been questioned with heightened intensity, and a new paradigm is starting to emerge where asset allocation decisions appear as the main source of added value by the investment industry.

The ambition of this research program is to develop new academic insights that can be used towards the design of improved forms of asset allocation solutions. The core challenge in the design of such asset allocation solutions is essentially to find optimal ways to spend dollar budgets as well as risk budgets that investors are reluctantly willing to set, with a focus on allowing the greatest possible access to performance potential while respecting such risk budgets. 

Reporting and regulation for investment solutions

This program aims to adapt the portfolio performance and risk analysis models and methods to the new paradigm of investment solutions. Our research has historically looked at performance evaluation in traditional classes–investigating socially responsible investing or analyzing rating methods for long-only funds–and at performance evaluation in the hedge fund universe (implementing dynamic factor models).

Technology, Big Data and Artificial Intelligence for Investment Solutions

In the era of fourth industrial revolution, every aspect of our lives is rapidly changing. What were once perceived as topics of science fiction – including artificial intelligence, robotics, autonomous vehicles, Internet of Things, and quantum computing – are now being deployed in the real world, with a speed and a scale we have never seen. Thanks to the vast amount of data, increased computing power and newly developed technologies, the tasks that only human beings could do are now more efficiently conducted by and with machines. Without a question, many industries will face fundamental changes in an unprecedented manner – from daily operations to the whole value chains.

The asset management industry is not an exception. In the face of this fast-evolving environment, this research program has a focus on providing a rigorous academic framework to the analysis of the benefits of technology, big data, machine learning and artificial intelligence in the areas of automated wealth management (also known as robo-advisor) technologies, asset allocation decisions and security selection decisions. 

 

This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
Working paper
Marie Lambert
,
Nicolas Papageorgiou
,
Federico Platania
2019
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
Working paper
Marie Lambert
,
Federico Platania
2017
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
Working paper
Kenneth Froot
,
Namhco Kang
,
Gideon Ozik
,
Ronnie Sadka
2017
International Journal of Finance & Economics Volume 22, Issue 3, July 2017 - pp 181–200
Publication académique
Stoyan Stoyanov
,
Lixia Loh
,
Frank J. Fabozzi
2017
The author presented an abbreviated version of this paper during presentations at the Commodity and Energy Markets Conference at Oxford University on...
Working paper
Hilary Till
2017
Bankers, Markets & Investors N° 147 – Mars Avril 2017
Publication académique
Jean-Christophe Meyfredi
,
Dominic O'Kane
2017
Journal of Alternative Investments Summer 2017, Vol. 20, No. 1: pp. 27-42
Publication académique
Jean-Michel Maeso
,
Lionel Martellini
2017
Journal of Derivatives Summer 2017, Vol. 24, No. 4: pp. 80-92
Publication académique
Vincenzo Russo
,
Frank J. Fabozzi
2017
Managerial Finance Vol. 43 N° 6 pp. 679 - 699
Publication académique
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...
Publication EDHEC
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...
Publication EDHEC
Lionel Martellini
,
Vincent Milhau
2017
Financial Markets and Portfolio Management - May 2017, Volume 31, Issue 2, pp 137–179
Publication académique
Frédéric Blanc-Brude
,
Timothy Whittaker
,
Simon Wilde
2017
The Journal of Fixed Income - Spring 2017, Vol. 26, No. 4: pp. 113-127
Publication académique
Majid Hasan
,
Frédéric Blanc-Brude
2017
Review of Finance - (2017) 21 (3): 1159-1188.
Publication académique
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
Livre
Riccardo Rebonato
2017
Journal of Investing
Publication académique
Riccardo Rebonato, PhD
2017
Quantitative Finance
Publication académique
Jang Ho Kim
,
Woo Chang Kim
,
Frank J. Fabozzi, PhD
2017

Pages

 

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