Yale SOM-EDHEC-Risk Harvesting Risk Premia in Equity and Bonds Markets Seminar (3 days)

Presentation of the Harvesting Risk Premia in Equity and Bonds Markets Seminar

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 Key Learning Objectives:

• Appreciate the post-crisis passive-active equity management controversy

• Understand the drawbacks of the popular equity strategy that combines  a passively managed core portfolio with one of several actively managed  satellite portfolios

• Find out about the dangers of naively optimised equity portfolios and  the benefits of robust optimisation

• Discover how to address the challenges in implementing optimized  portfolios, in particular, how to manage portfolio liquidity and turnover

• Study the limits of traditional equity indices; find out about the  minimum-variance benchmark, equally-weighted benchmark,  and other forms of benchmarks; evaluate the objectives and  assumptions underlying alternative indices and learn about model selection and hidden risks entailed in the choice of a particular benchmark

• Develop an understanding of the concepts and tools for evaluating and  implementing the new paradigm of equity strategies such as smart beta

• Measuring and managing systematic and specific risk of smart beta  benchmarks

• Discover the many dimensions of putting factor investing into practice  through the case-study approach (The Norway Model)

• Explore the rational and behavioural foundations of factor risk premia  and portfolio choice

• Evaluate methods for efficiently harvesting risk premia in equity markets  / fixed income markets

• Identify and control the various risks associated with a bond portfolio  using factor models • Learn how to control portfolio risk using interest rate and credit  derivatives

• Understand the shortcomings of existing bond benchmarks and learn  how a smart bond benchmark can be used as an alternative