New session for the seminar on Harvesting risk premia in equity and bond markets

Written on 13 Sep 2018.

printer-friendly version

Get a cutting-edge understanding of the foundations of factor investing and portfolio choice

Learning in the seminar involves a mix of interactive lectures and case study discussions. There will be ample opportunity for participants to engage with the instructor with questions about factor investing.

Investment portfolios are based on the idea that risk must be taken in order to increase expected returns. However, there are intelligent ways to take risk. Participants will learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets.

This seminar is part of an ambitious high-level program that consists of three seminars that are intended to reflect the major steps in a modern investment process. Participants can complete all three seminars and receive the prestigious joint Yale School of Management-EDHEC-Risk Certificate in Risk and Investment Management, or attend a single session that provides more focused study.

This learning experience will enable particpants to sharpen your skills and broaden your network. On the first evening of each seminar, a cocktail party takes place and you will be immersed in the Yale campus experience.

Three seasoned instructors who combine academic expertise and industry experience: Professor Will Goetzmann, Yale School of Management (Day 1), Professor Nikos Tessaromatis, EDHEC-Risk Institute (Day 2), Professor Riccardo Rebonato, EDHEC-Risk Institute (Day 3).


This seminar will enable participants to:

  • Appreciate the post-crisis passive-active equity management controversy
  • 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
  • Explore the rational and behavioral 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


For further information and registration, please contact Caroline Prévost, EDHEC-Risk Institute at [email protected]