RECHERCHE ET PUBLICATIONS

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 ...

Mentionné(e)(s) :

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 : Article de presse
Date : le 05/03/2020
Pôle de recherche Finance
Source : Mondovisione

A voir également

Premier référentiel de compétences pour le Compliance office
Actualités
- 02-12-2021
Le Cercle de la compliance, en partenariat avec l'EDHEC Augmented Law Institute, publie...
Actualités
- 01-12-2021
Dans le cadre de son partenariat avec Legal Suite, filiale du Groupe Septeo, EDHEC...
Inauguration du Campus Jean Arnault : cap sur l’entrepreneuriat et la transmission !
Actualités
- 01-12-2021
Vendredi 9 juillet, Bernard Arnault, PDG de LVMH, Brigitte Macron, Présidente de l’...
L’EDHEC confirme son positionnement dans le TOP 4 des Grandes Ecoles en France, selon l’Etudiant 2022
Actualités
- 01-12-2021
4e Grande Ecole française selon le classement 2022 de l’Etudiant, l’EDHEC Business...