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Multi-Asset Investment Products and Solutions

Training: Training : Multi-Asset Investment Products and Solutions

Tue, 07/03/2017   for 3 Days
Conducted by: EDHEC-Risk Institute – Yale School of Management
Contact: Caroline Prevost
Duration: 3 Days
Alternative dates: No

The aim of this three-day seminar is to equip participants with practical tools to improve asset allocation and risk management decision processes, and to implement novel investment management approaches.

The first two days of the course, led by Professor Lionel Martellini, has a focus on the efficient use of the three forms of risk management (hedging, diversification and insurance) for the production and distribution of improved investment solutions for asset owners without having to rely on noisy expected return estimates. The seminar will introduce the novel forms of factor and risk allocation techniques that can be used to build well diversified performance-seeking portfolios in the presence of historically low interest rates. It will also present disciplined approaches to liability driven investing strategies and goal-based investing strategies, and explain how asset managers may help investors maximise the probability of reaching their objectives subject to dollar and risk budget constraints, with applications in institutional or individual money management.

The third and last day of the seminar, led by Professor James Choi, will begin with a discussion about the predictability of equity and fixed income index returns. It will then proceed to demonstrate how the Black-Litterman framework can be used to incorporate views about future returns into portfolio construction. Finally, the seminar will present methodologies for identifying managers who are most likely to outperform in the future for situations when the asset allocation strategy is implemented via active mutual fund managers.



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