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