Diversification

Definition

The goal of diversification is to find the most efficient way to harvest risk premia across and within risky asset, earn the highest expected return for a given risk budget.

Publications

Measuring and Managing the Opportunity Cost of Downside Risk Protection

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

Risk Optimizations on Basis Portfolios: The Role of Sorting

Adaptive Portfolios and the Power of Diversification

Finding the Sweet Spot of Hedge Fund Diversification

Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Improved Risk Reporting With Factor-Based Diversification Measures

Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds? A Survey Of The LDI Practices For Pension Funds

Industry analysis

10 vehicles are enough to achieve significant and attractive diversification

Diversification and Insurance: Which Should Come First?

Precision Investing

Research Provides an Avenue to Test New Ideas in an Unconstrained Environment

Measuring Volatility Pumping Benefits in Equity Markets

Factor Investing in Liability-Driven and Goal-Based Investment Solutions

Do Financial Mistakes by Households Matter for Society?

Factor-Based Commodity Investing

"Academic research is crucial to appraise the potential of real estate"

IPE EDHEC Research Insights Autumn 2018

Maximizing the Benefits of Factor Investing

Multi-Asset Products and Solutions

Maximising the Benefits of Factor Investing

Be Serious with Equity Factor Investing

Bond Risk Premia: The New Frontier In Factor Investing and Smart Beta

Books

Videos

Diversification in Risk Management

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.