Name: Yale SOM – EDHEC-Risk Harvesting Risk Premia in Equity and Bond Markets
From: 12 Nov 2018
To: 14 Nov 2018
Address: Yale Campus,New Haven, Connecticut, United States
Key speakers: -not announced at the moment
Pricing: - variable
Description: The second seminar of the series, entitled “Harvesting risk premia in equity and bond markets” has been designed to offer participants an in-depth discussion on modern factor investing approaches in equity and bond markets.
A new approach known as factor investing has recently emerged in investment practice, which recommends that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class decompositions. While risk factors have long been used for the risk and performance evaluation of actively managed portfolios, the current focus is on identifying the proper framework under which factor investing and risk allocation are expected to generate welfare gains for asset owners. In particular, the emergence of so-called smart beta investment solutions, which is blurring the traditional clear-cut split between active and passive equity portfolio management, puts the emphasis on efficient harvesting of risk premia across and within asset classes.
Participants can complete all three seminars and receive the prestigious joint Yale School of Management-EDHEC-Risk Certificate in Risk and Investment Management, or they can attend a single session that provides more focused study.
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
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