Digital Assets Report


Like this article?

Sign up to our free newsletter

Third edition of Yale SOM-EDHEC-Risk Certificate in Risk and Investment Management to commence January 2017

Related Topics

In a challenging market environment, investment managers are looking for ways to incorporate the latest research methods and state-of-the-art investment practices to navigate through choppy waters and deliver to investors the best risk-adjusted returns. 

Cognisant of this, three years ago Yale SOM partnered with the EDHEC-Risk Institute to create a series of joint executive education seminars centered on Advanced Risk and Investment Management. 

The program has been designed by Lionel Martellini, Professor of Finance, EDHEC Business School and Director of EDHEC-Risk Institute and Will Goetzmann, Edwin J Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance, Yale School of Management. 

The seminars are held both in New Haven and London. Program participants have the flexibility to complete the course over 12 or 24 months.  

“The certification program is targeted at investment professionals with 10 to 15 years’ experience in the finance industry. They don’t want an MBA-like course. What is needed is unique content. Those doing the course will be presented with the latest academic research to help them come up with creative ideas to apply in their daily work lives,” says Prévost. 

The 2017 innovation is the development of tools for practical implementation.

The program structure for Seminar 1, “Multi Asset Investment Products and Solutions”, which runs between 7 and 9 March 2017 in London and between 21 and 23 March 2017 in New Haven, is:

Day 1 – Risk and asset allocation decisions
Day 2 – Liability-driven and goal-based investing solutions
Day 3 – Exploiting predictability in asset and factor returns

The Multi Asset Investment Products and Solutions Seminar course is designed to provide an in-depth introduction to the technical and conceptual challenges involved in the design of innovative forms of welfare-improving investment products and solutions for the benefits of individual or institutional asset owners.
In this seminar, the emphasis will be put on real world examples of application and the development of problem solving skills through the use of Excel-based portfolio simulation tools suitably designed to be used in the context of innovative forms of investment solutions.

The first portfolio simulation/construction tool is meant to be used to allow for "efficiently harvesting risk premia across asset classes and within equity markets". It allows seminar participants to investigate practical issues in the implementation of well-diversified portfolios in both a multi-asset context and an equity universe context. The shortlist of tested portfolio construction schemes includes among others minimum variance portfolios, equal risk contribution portfolios, factor risk parity portfolios, both in the presence and in the absence of portfolio weight constraints.

The second dedicated Excel-based portfolio simulation/construction tool is meant to be used for "designing and implementing improved forms of target date funds", and also to measure the opportunity gain with respect to ad-hoc products such as balanced funds or target date funds based on deterministic glide paths. 

The shortlist of tested portfolio strategies includes among others buy & hold portfolio strategies, fixed-mix portfolio strategies, target volatility strategies, myopic portfolio strategies as well as optimal and implementable forms of life-cycle investing strategies. Practical examples will be presented, which allow seminar participants to better analyze the impact of implementation constraints, such as leverage constraints and/or maximum drawdown constraints, on expected portfolio outcomes.

The third Excel-based portfolio simulation/construction tool is meant to be used for "designing and implementing goal-based investment solutions", with an emphasis on retirement solutions. Seminar participants will be able to analyze the opportunity cost related to the presence of essential goals, and also how to explore various approaches that can be used to minimize this opportunity cost so as to generate substantial probabilities of reaching target levels of replacement income in retirement. Mass-customisation constraints will be introduced, and the impact of such constraints on portfolio outcomes will be analyzed.

The two other seminars throughout 2017 are:

Seminar 2: Harvesting Risk Premia in Equity and Bond Markets, which runs between 21 and 23 June in London and between 11 and 13 July in New Haven:

Day 1 – Foundations and recent research advances in equity portfolio management
Day 2 – Equity factor investing in practice: Applications to portfolio management
Day 3 – Efficient harvesting of interest rate and credit risk premia

Seminar 3: Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies, which runs between 6 and 8 December in London and 12 and 14 December in New Haven

Day 1 – Foundations and recent research advances in private equity, hedge funds, real estate and fine art
Day 2 – Commodities: Investment narrative and fundamentals of commodity investing
Day 3 – Infrastructure: Investment narrative, asset pricing and performance measurement

Moreover, participants are able to avail of a distance-learning option for the New Haven sessions. In order to obtain the certificate, a maximum of one distance-learning session is permitted within the whole series. 

“People can attend the seminars remotely from their home or office and interact with the professors and students. The web cams have zoom technology and work extremely well. We’ve had good feedback from this year’s participants. However, we can only currently offer this opportunity in New Haven, we don’t yet have the technology in place in London,” explains Prévost. 

In order to receive the certificate it is necessary for participants to submit an assignment after each seminar. This does not simply mean producing a summary of the seminar. As Prévost states: “We want them to apply what they learn to their daily businesses and how ideas can be implemented into their businesses. We want them to think about the implications of what they’ve learnt in practical terms.”

For further information on how to sign up to next year’s program, please refer to the following contact details:

Caroline Prévost, EDHEC-Risk Institute at: [email protected], +33 493 183 496
David Pramer, Yale School of Management at: [email protected], +1 203 432 6268

Like this article? Sign up to our free newsletter

Most Popular

Further Reading