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

- 22-04-2017
Nicolas Hulot, portant la double casquette de reporter-journaliste et d’homme politique, est pleinement engagé dans ses actions en faveur d’une prise de conscience du risque écologique....
Les Entretiens de Nice : Questions d'Education
- 12-04-2017
Le Pôle de recherche en économie poursuit ses conférences dans la cadre du second cycle...
- 04-04-2017
En 2017, l’EDHEC se distingue de nouveau comme l’école de commerce française ayant obtenu le plus de « A », avec une mention spéciale pour son excellence de l’enseignement (quatre...
Frédéric Oudéa, Directeur général de la Société Générale à la rencontre des étudiants de l’EDHEC
- 31-03-2017
La Société Générale est l'une des 3 banques du CAC 40. Son Directeur général a choisi,...