A Post-crisis Perspective on Diversification for Risk Management

Since the global financial crisis of 2008, improving risk management practices management of extreme risks, in particular—has been a hot topic.

Auteur(s) :

Noel Amenc

Professor of finance, director of development at EDHEC Business School, and head of EDHEC-Risk Institute.

Felix Goltz

Head of applied research at EDHEC-Risk Institute and director of research and development at EDHEC-Risk Indices & Benchmarks.

Stoyan Stoyanov

Professor of finance at EDHEC Business School and programme director of the executive MSc in risk and investment management for Asia.

Présentation :

The postmodern quantitative techniques suggested as extensions of mean-variance analysis, however, exploit diversification as a general method. Although diversification is most effective in extracting risk premia over reasonably long investment horizons and is a key component of sound risk management, it is ill-suited for loss control in severe market downturns. Hedging and insurance are better suited for loss control over short horizons. In particular, dynamic asset allocation techniques deal efficiently with general loss constraints because they preserve access to the upside. Diversification is still very useful in these strategies, as the performance of well-diversified building blocks helps finance the cost of insurance strategies.
Pdf
A Post-crisis Perspective on Diversification for Risk Management...
(3.03 MB)
Type : Publication EDHEC
Date : le 06/05/2011
Complément d'informations For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Pôle de recherche Finance

A voir également

- 17-01-2017
[Téléchargez le Programme]   S'inscrire         L'EDHEC Research Day se tiendra le mardi 14 mars 2017 sur le campus EDHEC Business School de Lille. Les...
L’EDHEC 3eme Grande Ecole Française selon le classement du Financial Times (2016-2017)
- 05-12-2016
L’EDHEC Business School intègre le cercle très fermé et exigeant du Top 15 des «...
- 29-11-2016
Dans sa nouvelle publication, Multi-Dimensional Risk and Performance Analysis for Equity Portfolios, EDHEC-Risk Institute envisage une approche originale face aux pratiques d'...
Tous unis contre le handicap
- 24-11-2016
Au cours de cette journée, des entreprises et des associations ont présenté leurs...