The Edhec Risk and Asset Management Research Centre and Morgan Stanley Investment Management have announced the creation of a new research chair entitled Financial Engineering and Global A
The Edhec Risk and Asset Management Research Centre and Morgan Stanley Investment Management have announced the creation of a new research chair entitled Financial Engineering and Global Alternative Portfolios for Institutional Investors, a three-year research programme piloted by a joint Morgan Stanley-Edhec committee.
The Edhec centre’s team, led by scientific director Lionel Martellini, will research new forms of welfare-improving financial innovation through the engineering of alternative solutions for institutional portfolios.
The study will examine whether alternative investment strategies such as hedge funds, commodities, real estate and private equity can be useful in both the core and the satellite components of a performance-seeking portfolio. It will also look at where these strategies can potentially bring beta and alpha benefits, given that their impact on relative and absolute risk budgets must be assessed properly.
‘The search for alpha is fast becoming a key driver in the investment process and is driving the need for more investment options than just skilled management within the traditional asset classes,’ says Jim Dilworth, managing director and chief executive of Morgan Stanley Investment Management for Europe, Middle East and Africa.
‘We look forward to partnering with Edhec as they study how new asset classes, from hedge funds to commodities, offer diversification and non-correlation benefits to the asset allocation mix.’
The initial research project relates to the design of dedicated financial engineering techniques aimed at allowing for sound management of risk budgets when alternative investment strategies are introduced into institutional investors’ portfolios.
The findings of this research will be presented at both Morgan Stanley’s Second Annual Alternatives Investment Conference in Paris on October 23 and at the Edhec Alternative Investment Days at the ExCeL Conference Centre in London on December 9 and 10.
Edhec Business School, founded in 1906, has 4,700 students, of whom more than 35 per cent are from abroad, at its three campuses in Lille, Nice, and Paris, and 100 full-time faculty. The Risk and Asset Management Research Centre, which has 35 staff, aims to produce asset management and alternative investment research and facilitate its corporate use, including six industry-sponsored programmes focusing on asset allocation and risk management in traditional and alternative investment.
Morgan Stanley Investment Management has nearly 1,000 investment professionals worldwide and some USD597bn in assets under management or supervision at the end of November on behalf of governments, institutions, corporations and individuals worldwide.