Executive MSc in Risk

Executive MSc in Risk & Investment ManagementSingapore — London — Nice

Institute

Executive MSc in Risk & Investment Management

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Contents

The Executive MSc in Risk and Investment Management at a Glance…………………….. 4

Redefining Investment Management………………………………………………………………….. 8

An Original, Challenging, and Relevant Curriculum……………………………………………… 12

A Programme Tailored to Professional Needs………………………………………………………... 22

Programme Faculty…………………………………………………………………………………………….. 26

EDHEC-Risk Institute…………………………………………………………………………………………. 34

About EDHEC Business School…………………………………………………………………………... 42

Learning Infrastructure and Facilities………………………………………………………………….. 44

Admissions, Fees, and Funding………………………………………………………………….............. 46

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The EDHEC-Risk Institute Executive MSc in Risk and Investment Management at a Glance

Programme Rationale and ObjectivesInvestment management as an industry is justified by its ability to design and manage portfolios or solutions tailored to the specific constraints and objectives of investors whether institutional, high-net worth or retail.

Historically, the industry has focused its value-proposal on security selection and left aside two major sources of added-value: asset allocation and risk management.

The progressive realisation of the difficulty of creating value through security selection has fuelled the development of low-margin passive investment vehicles and prompted investment managers to start exploring asset allocation as a source of performance.

The crises at the turn of the millennium and the more recent financial turmoil have challenged conventional investment wisdom and underscored the need for the profession to redefine itself, adopt state-of-the-art asset allocation and risk management techniques, and shift from promoting products to designing solutions that truly take account of investors’ needs and constraints.

Targeting aspiring entrants and perpetuating the industry’s security selection bias, the typical master’s programmes in finance and investments focus on the basics of financial markets and instruments, on financial statement analysis, and on conventional portfolio theory. As such, they cannot prepare professionals for the challenges facing the investment management industry.

Practitioners who wish to embrace and lead the major changes that will reshape investment management should consider pursuing the innovative Executive MSc in Risk and Investment Management introduced by EDHEC-Risk Institute.

Driven by the evolving requirements of the investment industry and designed for experienced practitioners, the Executive MSc in Risk and Investment Management trains participants to appreciate recent and forthcoming paradigm shifts and equips them with the conceptual and practical tools to improve the organisation of the investment process and optimise asset allocation, portfolio construction, performance measurement, and risk management. Spanning traditional, alternative, and structured investments, and drawing on the latest scientific advances, the programme focuses on dynamic asset allocation and advanced risk management techniques and on the integration of investor needs and constraints in the design of novel solutions for institutional, private and retail investment management.

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An Original, Challenging, and Relevant CurriculumThe curriculum devotes considerable attention to the organisation of investment management and to the optimisation of each step in the portfolio management process. It reviews competing investment architectures and thoroughly examines investment policy, strategic asset allocation, portfolio construction, tactical asset allocation, and performance measurement and reporting.

It covers the latest theoretical developments in asset pricing and portfolio management and equips participants with the financial modelling and empirical finance tools required to implement research advances in the context of asset-only and asset-liability management solutions.

Taking stock of the rise of alternative and structured forms of investments, it explores their characteristics, asset allocation benefits, and addresses the challenges they create for multi-style multi-class investment.

Going beyond conventional asset allocation and risk management approaches, it delves into advanced risk management techniques and develops a dynamic risk budgeting framework allowing for the integration of “hard” risk constraints in asset allocation.

While the programme is technically challenging, its underlying force and focus are on the business relevance of financial innovation and its uses for investors, whether institutional, high net-worth, or mass-affluent. From this angle, the EDHEC-Risk Institute Executive MSc in Risk and Investment Management allows participants to view all concepts and techniques covered in class from an investor solution perspective.

One Programme, Two Regions, Three LocationsThe EDHEC-Risk Institute Executive MSc in Risk and Investment Management is designed for professionals in the investment management industry who wish to progress, or maintain leadership in their field, and for other finance practitioners who are contemplating lateral moves. It appeals to senior executives, investment and risk managers or advisors, and analysts.

This postgraduate programme is designed to be completed in seventeen months of part-time study and is formatted to be compatible with professional schedules.

The programme is offered in Asia—from Singapore—and in Europe—from London and Nice.


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The Support of a Leading Research CentreThe programme draws upon the considerable resources and exceptional industry reputation of EDHEC-Risk Institute, Europe’s premier centre for applied financial research and a global leader in investment management research. In the framework of six industry-sponsored research programmes and ten corporate-endowed research chairs, its team of sixty-two researchers and professionals carries out a wealth of projects around asset allocation and risk management and implements a multifaceted communications policy towards asset managers and institutional investors.

First-Rate FacultyProgramme faculty consists of renowned specialists in investment management whose collective expertise maps asset pricing, quantitative methods, alternative and structured forms of investments, asset allocation and asset-liability management, portfolio construction, risk management and measurement, performance measurement and analysis. It brings together EDHEC-Risk Institute’s permanent faculty and researchers and adjunct faculty who pursue careers in the financial industry.

Faculty members embody the programme’s unique combination of academic excellence and industry relevance and many of them have had notable influence over investment management concepts and practices through research, executive education, and direct involvement in the financial industry.


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Redefining Investment Management

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Historically, the investment management industry has focused its value proposal on asset selection and underutilised two key sources of added-value: asset allocation and risk management. Furthermore, sophisticated asset allocation and consideration of liability constraints have largely remained limited to the confines of institutional investors with maturity transformation or retirement provision activities.

Over the last twenty years, the realisation of the difficulty of delivering added-value through asset selection has led to the brisk development of passive investment vehicles, to the emergence of the core-satellite management framework, and to renewed interest in asset allocation approaches as sources of performance. The turn of the millennium crises which sent the equity markets reeling at the same time as falling interest rates were increasing the value of future obligations prompted institutional investors to explore advanced asset-liability management techniques and alternative diversification. The recent global financial crisis has served to dash the exaggerated hopes placed in diversification, highlight the challenges of alternative investment, and fuel investor demand for advanced asset allocation and risk management skills.

This new importance of asset allocation and risk management has profound implications for the investment management industry and calls into question the traditional concepts and techniques used by the profession.

The first major implication concerns the limits of using diversification as the sole approach to risk management. While diversification may be relied upon to beat a benchmark, it cannot be regarded as a robust risk management approach allowing for the respect of “hard” risk budgeting constraints, whether absolute in an asset management context or relative in an asset-liability management framework. Against this backdrop, the Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute devotes considerable attention to novel dynamic asset allocation and risk budgeting techniques which provide a solution to the limits of traditional static allocation approaches. This exploration of dynamic strategies is built on a review of the mathematical tools of continuous-time finance and the economic fundamentals of asset-pricing and market equilibrium.


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Sergio Focardi, PhDProfessor of Finance, EDHEC Business SchoolProgramme Director, EDHEC-Risk Institute Executive MSc in Risk and Investment Management for Europe

Stoyan Stoyanov, PhDProfessor of Finance, EDHEC Business SchoolProgramme Director, EDHEC-Risk Institute Executive MSc in Risk and Investment Management for Asia

The second significant issue relates to the correct integration of alternative and emerging classes in investment management be it to improve the risk-return trade-off of an asset-only mandate or to reduce the cost of liability-driven investing (LDI) solutions by relying on real assets. With their different risk profiles, alternative investments indeed offer opportunities for asset allocation. However, the scarce, biased, and non-Gaussian return data as well as the limited liquidity and transparency of hedge funds, private equity, real estate, or emerging alternatives have far-reaching impacts on all steps of the investment management process. To allow participants to design investment solutions that capture the benefits of these vehicles in a risk-controlled fashion, the Executive MSc in Risk and Investment Management integrates the specific characteristics of alternatives throughout the risk and investment management process and equips participants with advanced knowledge of the operational aspects of alternative investment. Implementing LDI solutions that draw on the liability-hedging potential of alternative investments requires quantitative analysis not only of hedging properties but also of the robustness of methods used to assemble hedging portfolios. These requirements justify the prominent status and advanced nature of portfolio construction and empirical finance techniques in the programme.

The third key consequence involves the extension of the asset-liability management (ALM) approach not only to new institutional investors, such as sovereign

investment funds, but also to high-net-worth and even mass-affluent clienteles. While it is recognised that investment objectives and liability constraints should play a central role in asset allocation and risk management policies, ALM has remained the preserve of pension funds, insurance companies, and commercial banks. A solid understanding of state-of-the-art ALM techniques is required to optimally address the investment management needs of emerging institutional investors, offer truly client-centric services in private wealth management, and design innovative value-adding solutions for retail investors. The EDHEC-Risk Institute Executive MSc in Risk and Investment Management thus explores strategic asset allocation in the context of ALM, introduces the latest advances in ALM, and discusses the specifics of ALM for sovereign investment funds and private investors.

Since 2001, EDHEC-Risk Institute has been conducting academic research on asset allocation and risk management, highlighting research results and applications to practitioners, and assisting them in their implementation. This has allowed EDHEC-Risk Institute to become the most influential centre for applied financial research in Europe and to attract considerable industry interest and financial support for its projects. EDHEC-Risk Institute’s unique blend of academic relevance and professional relevance permeates the Executive MSc in Risk and Investment Management and is epitomised by its first-rate faculty. Bringing together EDHEC-Risk Institute’s professors and researchers and high-


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level practitioners acting as affiliate instructors and guest speakers, the programme faculty team is a group of respected specialists who not only have scientific expertise in the variety of areas covered by the programme but also play a significant role in advancing investment management theory and practices through research, executive education, and direct industry involvement.

While the programme is broad and technically challenging, its underlying force and focus are on the business relevance of financial innovation and its uses for investors whether institutional, high net-worth, or mass-affluent. The Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute allows participants to cast all concepts and techniques covered in class in an investor solution perspective: innovation is pertinent only to the extent that it truly allows the needs of investors to be addressed. The curriculum’s manifold applications include designing long-only absolute return funds and dynamic risk-controlled strategies mixing traditional and alternative vehicles, creating new inflation-hedging solutions based on real assets, adapting ALM techniques to private wealth management, implementing time- and state-dependent asset allocation models for target-date funds, and reconciling dynamic core satellite techniques and mean reversion approaches to optimise the long-term performance of pension schemes while respecting their short-term funding ratio constraints, to cite but a few.

We encourage you to find out more about the format, curriculum, and faculty of the EDHEC-Risk Institute Executive MSc in Risk and Investment Management and invite you to evaluate how the programme could help you embrace and lead the major changes that will reshape investment management.


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An Original, Challenging, and Relevant Curriculum

Perpetuating the traditional asset selection bias of the industry and targeting aspiring entrants, the typical master’s in investment management programme covers the basics of financial markets and focuses on analysing financial statements and valuing traditional investment vehicles. The various steps in the investment management process are studied in a module that centres on conventional portfolio theory – investment policy, performance measurement, and portfolio rebalancing receive the most cursory treatment and asset allocation and risk management are too often equated with static diversification.

Designed for experienced investment professionals and driven by the changing needs of the industry, the EDHEC-Risk Executive MSc in Risk and Investment Management takes a radically new approach. It discards the coverage of basics of markets and securities, disregards security selection, and focuses on asset allocation and risk management as key sources of added-value. The programme questions the organisation of investment management and explores in detail every step in the investment management process. It casts investment in a dynamic framework and shows how to blend asset allocation and risk management to provide a solution to the limits of static allocation approaches.

While the programme explores research advances in asset allocation and risk management, its emphasis is on equipping participants with a conceptual framework and the practical tools to design and implement new solutions tailored to the needs and constraints of investors.

The curriculum of the Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute is centred around core courses which provide participants with sound knowledge of the economic and mathematical underpinnings of investment, with the modelling and empirical finance tools required to bridge the gap between investment management theory and practices, and with clear directions for optimising the value added from investment policy definition, strategic and tactical asset allocation, performance analysis and reporting, and risk management. While alternative and structured forms of investment receive dedicated treatment in the context of specific core courses, all courses dealing with asset pricing, empirical finance, portfolio construction and management, and risk management are set in a multi-style multi-class framework that spans traditional, alternative, and structured investments.

Electives allow participants to further explore a specific step in the investment management process, analyse emerging investment themes and investor solutions, or review recent regulatory and compliance developments affecting the industry.

Complimentary and optional access to the wealth of research events organised by EDHEC-Risk Institute gives Executive MSc in Risk and Investment Management participants an advance view of future developments in investment management theory and practices.

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Key learning benefits> Appreciate paradigm shifts in investment management and their strategic and operational impact. > Understand the recent advances in financial theory with respect to asset pricing and portfolio models and acquire the empirical finance tools to implement them. > Review the fundamentals of strategic asset allocation and asset-liability management, explore their latest advances, and apply them to the needs of institutional, high-net worth and mass-affluent investors.> Understand the specific characteristics of alternative investments and learn to integrate alternative asset classes into asset allocation.> Bridge the gap between modern portfolio theory and portfolio construction.> Understand the models, techniques, and applications of tactical asset allocation, learn to design and implement tactical models and to package them into investment solutions.> Review portfolio insurance techniques and learn to blend active asset allocation and risk management to design risk-controlled dynamic asset allocation strategies for asset management and asset-liability management.> Acquire state-of-the-art methods for the measurement and management of market, credit, operational, and liquidity risks.> Understand how structured products are designed, priced, and hedged, learn to analyse their performance and risks, and assess their role in asset allocation and risk management.> Use advanced tools for performance measurement and analysis to measure the performance attributable to each step in the portfolio management process and to individual portfolio managers.> Optimise the contribution of specific asset classes and investment vehicles, and analyse current industry issues and investment themes.> Obtain advance exposure to forthcoming developments in investment management theory and practices.

Core CoursesCore courses train participants to appreciate recent and forthcoming paradigm shifts in investmentmanagement and equip them with the conceptual and practical tools required to optimise risk and investment management and design novel investment solutions for institutional, private and retail investors that span traditional, alternative, and structured forms of investments. All core courses are mandatory.

State-of-the-art investment management (28 hours)The course discusses the organisation of the investment management process by reviewing competing investment models and examining the paradigm shifts in investment management and their impact on the organisation of the investment process. It establishes the framework of the investment management process and looks at recent and emerging models in institutional investment, wealth management, and retail asset management organisations, assessing academic recommendations and detailing innovations in architecture and solutions pioneered by world-class buy- and sell-side institutions. It discusses the benefits, limits, and implementation conditions of advanced quantitative models for asset allocation and risk management. The course combines analysis by EDHEC-Risk Institute researchers and dialogue with high-level practitioners to equip participants with a sound understanding of alternative investment processes and organisations and best industry practices as well as insight into upcoming changes.

Foundations of asset pricing and portfolio management (42 hours)This course introduces the economic and mathematical foundations of asset pricing and portfolio management.

It opens with a review of the mathematical tools required for continuous-time models of security prices and interest rates and surveys the economic fundamentals for the study of individual decisions and market equilibrium. It then looks at consumption and investment under uncertainty, mean variance theory and alternative risk measures, capital market equilibrium, arbitrage pricing theory, derivatives pricing, interest rate models and the pricing of interest rate sensitive claims, and hedging.

Empirical finance (42 hours)This course focuses on the empirical aspects of asset pricing and portfolio management and on the econometrics of financial markets. Applications span primitive and derivative asset pricing, strategic and tactical asset allocation, and trading strategies. Topics covered include asset return modelling and predictability, volatility modelling and forecasting, treatment of non-linearity in data, simulation methods, calibration and testing of pricing models and trading strategies, correlation and co-integration analysis, econometrics of derivatives pricing, and econometrics of fixed income markets.

Alternative investments (28 hours)This course looks at alternative investments from an asset allocation perspective. It opens with a presentation of assets from private equity and real estate, to hedge funds, commodities and managed futures, and alternative alternatives (infrastructure assets, timber, etc.). The emphasis is on investment characteristics, risk and return drivers, and statistical properties of alternative classes and investments. The course then looks at the benefits and challenges of integrating alternative assets in asset allocation and discusses alternative integration models. It concludes with an examination of practical portfolio management issues that arise with alternative assets, and provides techniques to manage asset class exposure and operational risk.

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Strategic asset allocation and asset-liability management (28 hours)This course deals with strategic asset allocation for mass-affluent, high net-worth and institutional investors and introduces the ALM framework. The first part of the course reviews the steps to developing an investment policy statement highlighting major considerations for the different types of investors. The course then discusses asset class specification and selection, and looks at the various methods used to estimate and model long-term returns, risks, and relationships between classes. It concludes with a review of the various approaches to combining investor objectives, constraints and asset class forecasts. The second part of the course focuses on the ALM approach to strategic asset allocation. It covers basic ALM approaches, surplus optimisation techniques, liability-driven investing, and stochastic ALM models looking at the limitations, costs, and benefits of each approach. It reviews the practical issues of hedging hedgeable and imperfectly hedgeable risks with cash and derivatives and discusses short-term constraints on optimal ALM. It discusses liability identification and concludes with a series of case studies highlighting the salient features of implementing ALM in banks, insurance companies, and pension funds and introducing extensions of the ALM approach into private banking and sovereign investment management.

Portfolio construction and risk budgeting in practice (28 hours)This course is devoted to bridging the gap between portfolio theory and practical portfolio construction and building viable, stable, and realistic portfolio models. It looks at feasibility and relevance issues with traditional portfolio models, introduces techniques to redefine the investment universe and make covariance matrix estimation feasible, improve parameter estimates, address data limitations, and deal with illiquid asset classes. It presents methods to implement alternative portfolio models that account for non-normality risks, estimation

error and parameter uncertainty, prior knowledge, realistic risk preferences, and transaction costs. It discusses scenario optimisation and its applications. It reviews risk budgeting in the core-satellite investing model, benchmark-relative optimisation, and concludes with a survey of the limitations of traditional indices and benchmarks and a discussion of alternative weighting schemes.

Risk measurement and management (49 hours)The course presents the tools used to identify, measure, and manage market risk, credit risk, operational risk, and liquidity and execution risks. It deals with the whole range of assets and devotes specific attention to the risks associated with derivatives and complex strategies. Its coverage of market risk includes alternative risk metrics, the Value-at-Risk framework and extensions, risk factor mapping, modelling of time-varying volatility and volatility clustering, and approaches to modelling extreme values. Its survey of credit and counterparty risks discusses default, downgrade, and credit spread risk, methods for credit risk measurement, tools for modelling of loss and recovery risks, traditional credit risk management methods, and credit derivatives. Treatment of operational risk encompasses a review of its various dimensions and presentation of the tools to measure, model, and mitigate operational risk, including specific controls, insurance, swaps, and catastrophe instruments. The course’s review of liquidity risk centres on identifying its sources, presenting mitigation techniques, designing liquidity provision plans and execution strategies. The course concludes with a survey of stress tests looking at their objectives and presenting steps and tools for designing and performing them.

Tactical asset allocation (21 hours)This course explores the models, techniques, and applications of tactical asset allocation. The course opens with a review of the various approaches to tactical asset allocation, introduces commonly used signals and their corresponding horizons, looks at the different types of parametric and non-parametric models used to generate and filter signals, and discusses portfolio construction issues. It then focuses on the econometrics of tactical asset allocation, addressing practical issues such as variable identification and model calibration, and out-of-sample performance testing and model training. It also examines the specific characteristics of tactical asset allocation in a high frequency context. The course concludes with case studies of momentum-based tactical asset allocation in the commodity futures markets, business cycle analysis-based timing between traditional classes, and quantitatively-driven multi-style multi-class tactical asset allocation.

Dynamic asset allocation and risk management (14 hours)This course examines portfolio insurance techniques and introduces a new framework for dynamic asset allocation decisions in asset management and ALM that blends active management and risk management. It first looks at the introduction of risk management constraints into asset allocation and discusses time- and state-dependent strategies for risk management. It contrasts constant proportion portfolio insurance and option-based portfolio insurance. It then discusses principles, derivation, and implementation of the dynamic core-satellite model and shows how to use it to blend active management and risk management to engineer new risk-controlled strategies in asset management and ALM.

Structured investments (28 hours)This course explores structured products, understood as investment vehicles founded on derivatives-based strategies involving underlying assets such as equities, indices, funds, and so on. The course opens with a presentation of the main types of credit, fixed-income, and equity-derivatives structured products; their risk and return profiles are detailed. It looks at the design, pricing, and hedging of the most common structures, e.g. capital protection, leverage, inverse indexation, and discusses exotic and customised structures. The course then reviews the tools and methods used to assess the performance and risks of structured investments and applies them to the analysis of products linked to equity, fixed-income, and alternative investments. It concludes with a look at the benefits and constraints of structured investments in terms of asset allocation and risk management.

Performance measurement, analysis and reporting (21 hours)This course introduces participants to the metrics, models, and rules to measure the performance of investment management, attribute it to investment process decisions and managers, and report it according to global standards. The course presents standard metrics for performance measurement and advanced models for risk-adjusted performance analysis of asset management and ALM. It addresses issues such as data biases, style biases, and dynamic trading, to provide for reliable performance measurement and analysis in a multi-style multi-class dynamic framework. It deals with the specific characteristics of performance analysis for equity, fixed income, derivatives and alternative investments. It concludes with a review of Global Investment Performance Standards and their compliance requirements.

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Elective CoursesElective courses allow participants to further explore a specific step in the investment management process, analyse emerging investment themes and investor solutions in depth, or review recent regulatory and compliance developments affecting the industry. While a minimum of twenty-one hours of electives is mandatory, participants are free to take as many elective courses as they wish.

For 2011/2012, the provisional catalogue of electives is as follows:Advanced fixed-income investing (14 hours)

Advanced commodity investment and risk management (14 hours)

Advances in allocating to real assets: optimising diversification and hedging benefits (7 hours)

Transaction cost analysis and best execution challenges (7 hours)

Analysing emerging investment themes: green business (7 hours)

Behavioural finance and private investment management (14 hours)

Managing compliance obligations in investment management (14 hours)

Risk management techniques for fund-of-fund structures (7 hours)

State-of-the art manager selection and management (7 hours)

Socially Responsible Investment in practice (7 hours)

Optional Research EventsExecutive MSc in Risk and Investment Management participants also have the opportunity to go beyond coursework and become involved in research activities. They will be offered the chance to join the Doctoral Research Workshop and the Applied Research Seminar series and will enjoy complimentary access to the annual conferences and occasional presentations organised by EDHEC-Risk Institute. Online or physical attendance in these research events provides Executive MSc in Risk and Investment Management participants with additional opportunities to review and discuss future developments in investment management theory and practices.

EDHEC-Risk Institute Doctoral Research WorkshopPrimarily organised for faculty, permanent researchers, and EDHEC-Risk Institute PhD in Finance candidates, the Doctoral Research Workshop sees outstanding scholars present and discuss their ongoing research work. Executive MSc in Risk and Investment Management participants will be invited to join selected sessions of the Doctoral Research Workshop chosen for their relevance for investment management. The workshop is accessible in multimedia streaming over the Internet both live and on-demand. Each session lasts for an hour and a half and there are one to two sessions per month.

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> CoVaR Tobias Adrian, Assistant Vice President, Federal Reserve Bank of New York

> Market Volatility, Market Frictions, and the Cross-Section of Stock ReturnsFederico M. Bandi, Professor of Economics and Finance, The Johns Hopkins Carey Business School and Affiliate Faculty Member, EDHEC-Risk Institute

> Short Selling and the Informational Efficiency of PricesEkkehart Boehmer, Professor of Banking and Finance, Lundquist College of Business, University of Oregon and Affiliate Faculty Member, EDHEC-Risk Institute

> Tails, Fears and Risk PremiaTim Bollerslev, Professor of Finance, Fuqua School of Business, and Professor of Economics, Duke University

> When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk PremiaAndrea Buraschi, Chair in Finance, Imperial College Business School

> Longevity Risk and Retirement SavingsJoão Cocco, Associate Professor of Finance, London Business School

> Systemic Risk and Default Contagion in Banking NetworksRama Cont, Director of the Centre for Financial Engineering, Columbia University

> Gradual Information Diffusion in Asset MarketsHarrison Hong, Professor of Economics and Finance, Princeton University

> When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns Robert Kosowski, Head of the Centre for Hedge Fund Research, Imperial College Business School

> Do the Fama French Factors Really Proxy for Time Varying Opportunity Set? Abraham Lioui, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute

> Giants at the Gate: On the Cross-section of Private Equity Investment ReturnsFlorencio López-de-Silanes, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute

> How Costly is Regulatory Short-Termism for Defined-Benefit Pension Funds? Lionel Martellini, Scientific Director, EDHEC-Risk Institute and Professor of Finance, EDHEC Business School

> Optimal Portfolio Allocations with Hedge Funds Marcel Rindisbacher, Associate Professor of Finance and Economics, School of Management, Boston University

> Do Fund Managers Make Informed Asset Allocation Decisions? Jacob Sagi, Associate Professor of Finance, Owen Graduate School of Management, Vanderbilt University

> Keynes Meets Markowitz: The Trade-off between Familiarity and Diversification Raman Uppal, Professor of Finance, London Business School and Affiliate Faculty Member, EDHEC-Risk Institute

> Stock-Based Compensation and CEO (Dis)IncentivesPietro Veronesi, Booth School of Business, University of Chicago

Recent Doctoral Research Workshops relevant to Executive MSc in Risk and Investment Management participants include:

> Professor Yacine Ait-Sahalia, Director of the Bendheim Centre for Finance, Princeton University

> Professor Peter Christoffersen, McGill University

> Professor Jakša Cvitanic, California Institute of Technology

> Professor Jérôme Detemple, Boston University

> Professor Francis X. Diebold, Co-Director of the Wharton Financial Institutions Centre, University of Pennsylvania

> Professor Pascal Maenhout, INSEAD

> Professor Antonio Mello, University of Wisconsin-Madison

> Professor Nicholas G. Polson, Booth School of Business, University of Chicago

Guest scholars contributing to the EDHEC-Risk Institute Doctoral Research Workshop in 2010/2011 include:

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EDHEC-Risk Institute Applied Research SeminarPrimarily organised for the research team of EDHEC-Risk Institute, the Applied Research Seminar sees faculty and senior research staff present and discuss the results of the applied research projects they conduct in the context of the centre’s six industry-supported programmes and ten corporate-endowed research chairs. Executive MSc in Risk and Investment Management participants will be given the opportunity to participate in the Applied Research Seminar. The seminar is accessible in multimedia streaming over the Internet both live and on-demand. Each session lasts for an hour and a half and there is one session per month.

> Advanced Risk Budgeting Techniques for Institutional Portfolios with Alternative Assets

> Assessing the Cost of Protecting against Non-Financial Risks

> Asset and Liability Management Practices of European Pension Funds

> Creating Novel Hedging Solutions Using Real Assets

> Current and Emerging Uses of Exchange-Traded Funds by Institutional Investors

> Designing an Asset-Liability Management Model for Private Wealth Management

> Evaluating Hedge Fund Replication Strategies

> How to Reconcile Long-Term Investment with Short-Term Constraints

> Life-Cycle Investing in the Presence of Stochastic Interest Rates and Equity Risk Premium: Implications for the Design of Enhanced Forms of Target Date Funds

> Optimal Asset-Liability Management Decisions for Sovereign Wealth Funds

> Portfolio Construction and Performance Measurement: Evidence from the Field

A non-exhaustive list of recent and forthcoming presentations given as part of the Applied Research Seminar series:

EDHEC-Risk Institute Conferences and Research PresentationsAs part of its industry outreach activities, EDHEC-Risk Institute organises annual conferences and occasional events to present and discuss the results of its research with the investment management industry. Executive MSc in Risk and Investment Management participants will enjoy complimentary access to all of these research events.

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A Programme Tailored to Professional Needs

Programme AudienceThe Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute helps professionals to embrace and lead the major changes that will reshape investment management. It trains participants to appreciate recent and forthcoming paradigm shifts and equips them with the conceptual and practical tools required to improve the organisation of the investment process; optimise portfolio construction, risk management, and performance measurement; and design novel investment management approaches and solutions for institutional, private and retail investment management.

The programme is targeted at experienced investment professionals. It appeals to chief investment officers, heads of asset allocation/investment strategy/asset-liability management, heads of investment solutions/financial services, portfolio and risk managers, investment and risk analysts and officers, advisers and consultants. It is also of interest to professionals who have hitherto specialised in supporting roles such as financial modelling or programming, and wish to make lateral moves. It is relevant to a wide cross-section of institutions including third-party asset managers, private banks and wealth managers, investment banks, institutional investors (pension funds, endowments, foundations; insurance companies; sovereign investment vehicles), family offices, consultancies, and financial software companies.

Structure Tailored to Professional NeedsThis specialist master’s programme is delivered over seventeen months of part-time study and formatted to be compatible with professional schedules. It is offered in Asia—from Singapore—and in Europe—from London and Nice.

The core and elective course requirements of theprogramme represent fifty full days. They are delivered over three residential weeks and tenthree-day blocks (from Thursday afternoon to Sunday morning in Asia, and from Thursday morning to Saturday afternoon in Europe). Some of the blocks may be taken as distance-learning sessions. This eases management of the demands of work, programme, and personal life and allows participation not only of London- and Singapore- based practitioners, but also of professionals who regularly travel to these cities.

Core courses are given every year in Europe and Asia so that missed modules requiring attendance may be made up, and the portfolio of electives offered in London and Singapore allows Executive MSc in Risk and Investment Management candidates to select seminars that fit their professional objectives and constraints.

All core courses and electives take place in state-of-the-art e-learning classrooms to allow remote participation as well as asynchronous access to all class sessions attended.

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Programme TimelineTimely completion of this challenging and rewarding programme demands that participants commit

an average of fifteen hours per week to readings, assignments, and class attendance.


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N: Session taking place at the Nice campusL: Session taking place at the London executive learning centre

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Executive MSc in Risk and Investment Management Timeline: Asia

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Participation in the programme also helps practitioners fulfil their responsibility to maintain and improve their professional competence, whether this responsibility arises from personal ethics, obligations to maintain certifications, designations, or memberships in professional associations, organisational policy, or legal requirements. EDHEC-Risk Institute is a participant in the CFA Institute Approved-Provider Programme, and the Executive MSc in Risk and Investment Management qualifies for the maximum number of continuing education credit hours possible under the CE Programme.


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Programme Faculty

The EDHEC-Risk Institute Executive MSc in Risk and Investment Management programme faculty is an exceptional team of international experts who blend academic excellence and industry experience and have been making significant contributions to the investment management profession as scholars and practitioners

Faculty members are renowned specialists from academe and industry with expertise across the whole spectrum of risk and investment management: strategic asset allocation and asset-liability management; tactical asset allocation, trading, and market microstructure; portfolio construction and optimisation; performance measurement and analysis; risk measurement, modelling and management; traditional and alternative investments; asset pricing, continuous-time modelling, and empirical finance.

The programme faculty brings together a core—made up of EDHEC-Risk Institute’s professors and senior researchers—and high-level practitioners contributing their technical expertise as affiliate professors. It is complemented by senior industry figures sharing their vision and experience as guest lecturers.

Faculty members have an outstanding track record of publication in leading academic and practitioner journals, authoring of and contribution to innumerable professional books for prestigious finance and investments series, a rich experience of executive education, and a history of senior-level engagements within the investment management industry.

A Selection of Recent Reference TextsAuthored or Edited by Core Programme Faculty

Wiley Finance and Investments Series

Riskbooks series

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Core Programme FacultyThe majority of courses are taught by EDHEC-RiskInstitute professors and senior researchers chosenfor their academic and professional expertise in thesubjects taught and their experience of graduate andexecutive education.


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EDHEC-Risk InstituteDirector

EDHEC Business SchoolProfessor of Finance and Director of Development

> Specialist in performance analysis, investment management, and alternative investments.

> Noël Amenc is Professor of Finance and Director of Development at EDHEC Business School and the Director of EDHEC-Risk Institute. Before joining the School and establishing EDHEC-Risk Institute, he was Head of Research with Misys Asset Management Systems. Prior to this, he was the president of SIP, a portfolio management software company he founded, developed, and sold. He has advised numerous investment and wealth management organisations. Professor Amenc’s research on hedge funds, indices, performance analysis, and asset allocation has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management and is the Associate Editor of the Journal of Alternative Investments. He is also a member of the Scientific Committee of France’s financial market authority (AMF). He has co-authored books on quantitative equity management, portfolio management, performance analysis, and hedge funds. He frequently delivers research presentations and keynote addresses at industry conferences.

Noël Amenc, MSc in Economics, MPhil and PhD in Management – Finance (Nice)

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Johns Hopkins UniversityProfessor of Economics and Finance, The Johns Hopkins Carey Business School

EDHEC-Risk InstituteAffiliate Faculty Member

> Specialist in financial econometrics, continuous-time asset pricing, and market microstructure.

> Federico M. Bandi is Professor of Economics and Finance at The Johns Hopkins Carey Business School and an Affiliate Faculty Member of EDHEC-Risk Institute. He was previously Associate Professor of Econometrics and Statistics and the David W. Johnson Professor at the Booth School of Business, having joined the University of Chicago upon completion of his PhD. His research on market microstructure, financial econometrics, and continuous-time asset pricing has been published in leading economics and finance journals and he currently serves as associate editor of Econometric Theory, the Econometrics Journal, the Journal of Business and Economic Statistics, and the Journal of Financial Econometrics. He has contributed to books on financial engineering and econometrics and has been distinguished for his excellence in executive education.

Federico M. Bandi, Laurea and MA in Economics (Bocconi),MA, MPhil and PhD in Economics (Yale)

University of OregonJohn B. Rogers Professor of Banking and Finance, Lundquist College of Business


> Specialist in equity market micro-structure and the economics of trading.

> Ekkehart Boehmer is the John B. Rogers Professor of Banking and Finance at the University of Oregon Lundquist College of Business and an Affiliate Faculty Member of EDHEC-Risk Institute. He was previously Associate Professor and holder of the Nichols Professorship of Finance at Texas A&M University Mays Business School. Prior to that, he held positions in the financial industry, as Director of Research at the New York Stock Exchange and Senior Economist at the United States Securities and Exchange Commission. His research on the micro-structure of equity markets, short-selling, and market efficiency has appeared in leading academic journals. He has contributed to books on corporate governance and financial markets and is an experienced instructor.

Ekkehart Boehmer,MA in Economics and PhD in Finance (Georgia)

EDHEC-Risk InstituteProgramme Director, Executive MSc in Risk and Investment Management (Europe)

EDHEC Business SchoolProfessor of Finance

> Specialist in quantitative equity management, portfolio optimisation, financial modelling and econometrics, and risk management.

> Sergio Focardi is Professor of Finance at EDHEC BusinessSchool and the Programme Director of the EDHEC-Risk Institute Executive MSc in Risk and Investment Management for Europe. He was previously a partner at the Intertek Group, a firm specialised in research, training and consulting in quantitative portfolio management and mathematical finance. Prior to founding the Intertek Group in 1993, he was the Managing Director of the Italian subsidiary of Control Data Corporation. His research interests include the econometrics of large equity portfolios and the modelling of interactions between multiple heterogeneous agents. He has developed proprietary models for equity management. His work on quantitative equity management, trading, investment management, portfolio optimisation, credit risk contagion, and financial econometrics has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management. Professor Focardi has authored and co-authored award-winning books on financial modelling and investment management and CFA Institute monographs on equity management and quantitative finance. He is a seasoned executive education instructor.

Sergio Focardi, MSc in Electronic Engineering (Swiss Federal Institute of Technology),PhD in Mathematical Finance (Karlsruhe)


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EDHEC-Risk InstituteAcademic Director, PhD in Finance


> Specialist in asset pricing theory, portfolio and risk management, and financial econometrics.

> René Garcia is Professor of Finance at EDHEC Business School and Academic Director of the EDHEC-Risk Institute PhD in Finance programme. He was previously a professor at the University of Montreal and the scientific director of the interuniversity research centre CIRANO. Prior to joining academe, Professor Garcia worked for four years as an economist in the public and private sectors and for six years as the president of financial services company Synectra Inc. His research interests in finance and econometrics revolve around the valuation of financial assets, portfolio management, risk management, and regime-switching models. He has published widely in leading journals and participated in the founding of the Journal of Financial Econometrics, for which he serves as Editor-in-Chief. He has received numerous research awards and grants, held the Hydro-Québec chair in integrated risk management and financial mathematics, and recently been awarded a three-year grant from the AXA Research Fund.

René Garcia,MiM (ESSEC),MA in Economics (Montréal),PhD in Economics (Princeton)

EDHEC-Risk InstituteHead of Applied Research

> Specialist in alternative asset allocation and indexing.

> Felix Goltz is Head of Applied Research at EDHEC-Risk. As such, he supervises a team of researchers who conduct industry surveys and applied research projects on exchange-traded funds, portfolio construction, performance measurement and reporting. He also co-heads EDHEC-Risk Institute’s programme on indices and benchmarking and leads the research and development activities related to the Institute’s partnership with the FTSE Group. His research focuses on asset allocation with alternative assets and on indexing and passive investment across traditional and alternative investments. His work on hedge fund indices, equity indices, exchange-traded funds, and asset allocation has appeared in leading academic and practitioner journals. Doctor Goltz has contributed to various reference texts on exchange-traded funds, investment management, and hedge funds. He has been teaching postgraduate and executive education courses for several years and regularly presents research work at industry conferences.

Felix Goltz,MPhil and PhD in Management – Finance (Nice)

Gambit Financial SolutionsCo-Founder and Chief Scientific Officer

EDHEC-Risk InstituteMember

EDHEC Business SchoolAffiliate Professor of Finance

> Specialist in performance measurement, hedge funds, derivatives, and credit risk

> Georges Hübner is Affiliate Professor of Finance at EDHEC Business School. In addition, he is a co-founder and the Chief Scientific Officer of Gambit Financial Solutions, a financial software company specialising in risk profiling and portfolio construction tools. He also serves as co-chair of the Finance, Accounting and Law Department and is the Deloitte Professor of Financial Management at the University of Liege HEC Management School. His research on performance measurement, credit risk, hedge funds, and derivatives has appeared in leading scientific and practitioner journals. Professor Hübner has co-authored and co-edited several books on venture capital, hedge funds and CTAs, credit derivatives, operational risk, and performance measurement. He is an experienced graduate and executive education instructor and has been involved in Financial Risk Manager (FRM®) and Chartered Alternative Investment Analyst (CAIA®) preparation courses.

Georges Hübner, PhD in Management – Finance (INSEAD)

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Kedge CapitalChief Investment Officer



> Specialist in alternative investment and asset management.

> François-Serge Lhabitant is Affiliate Professor of Finance at EDHEC Business School and Chief Investment Officer at Kedge Capital. He is responsible for the investment management of the Kedge Capital Funds and investment mandates operated by the Kedge Group. He was previously a senior executive at UBP where he was in charge of the quantitative analysis and the management of dedicated hedge fund portfolios. Prior to that, he was a director at UBS Private Banking Division and Global Asset Management. His research on alternative investment and asset management has been published in refereed academic and practitioner journals. He is a member of the Scientific Committee of France’s financial market authority (AMF) and of the AIMA Investor Steering Committee. He also contributes to the Chartered Alternative Investment Analyst Association, the International Association of Financial Engineers and the Professional Risk Managers’ International Association. Professor Lhabitant has authored several bestsellers on hedge funds, co-authored a primer on new asset management techniques, and co-edited books on commodities, hedge funds, and stock market liquidity. He is a seasoned executive education instructor and a frequent keynote speaker at top industry events.

François-Serge Lhabitant,MSc in Computer Science (Swiss Federal Institute of Technology),MSc in Banking and Finance and PhD in Finance (HEC Lausanne)



> Specialist in asset pricing theory, dynamic asset allocation, derivatives, and risk management.

> Abraham Lioui is Professor of Finance at EDHEC Business School. He was previously at the department of economics at Bar Ilan University where he held the Vice Chair position. He has served as a consultant to various financial institutions on questions related to performance measurement and market making. His research interests in finance revolve around the valuation of financial assets, portfolio management, and risk management. His economics research looks at the relationship between monetary policy and the stock market. Professor Lioui has published widely in, and refereed for, leading journals and received several research grants. He has recently co-authored a book on the use of derivatives for dynamic asset allocation. He is an experienced graduate and executive education instructor and is regularly invited to present at international scientific conferences.

Abraham Lioui,MSc in Finance and MA in Economics (Paris I),MA in Probability and Stochastic Processes (Paris VI), PhD in Management (ESSEC & Paris I)

EDHEC-Risk InstituteScientific Director


> Specialist in asset allocation, derivatives, fixed income modelling, and alternative investment.

> Lionel Martellini is Professor of Finance at EDHEC Business School and Scientific Director of EDHEC-Risk Institute. He was previously on the faculty of the University of Southern California. He has served as a consultant to various institutional investors, investment banks, and asset management firms on questions related to risk management, alternative investment strategies, and asset allocation decisions. He is a member of the global advisory board of FTSE Group. Professor Martellini’s research on asset management, portfolio theory, derivatives valuation, fixed income products, and alternative investment has appeared in leading academic and practitioner journals. He sits on the editorial boards of the Journal of Portfolio Management and the Journal of Alternative Investments. Professor Martellini has co-authored and co-edited reference texts on fixed-income management and alternative investment. He is regularly invited to speak at leading academic and industry conferences and is a seasoned executive education instructor.

Lionel Martellini,MiM (ESCP-EAP),MSc in Economics (ENSAE), MSc in Statistics (Paris VI), PhD in Finance (Berkeley)


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> Specialist in tactical asset allocation, derivatives, and commodity futures

> Joëlle Miffre is Professor of Finance at EDHEC Business School. She was previously with the Cass Business School and also held faculty positions at the University of Technology, Sydney, the ICMA Centre at the University of Reading, and Brunel University. Her research on tactical asset allocation, derivatives, commodity futures, and hedge funds has appeared in refereed academic and practitioner journals. Professor Miffre received support from Inquire-UK for her work on higher moments and the conditional performance of alternative investments. She has presented at international academic and industry conferences and is an experienced graduate and executive education instructor.

Joëlle Miffre,MSc and PhD in Finance (Brunel)



> Specialist in interest and credit risk pricing and management

> Dominic O’Kane is Affiliate Professor of Finance at EDHEC Business School. Prior to joining EDHEC-Risk Institute in 2007, he was Head of Fixed Income Quantitative Research at Lehman Brothers in London, where he worked for nine years, and taught postgraduate courses at the University of Oxford. He had previously spent two years at Salomon Brothers. His expertise lies in the pricing and risk managing of credit derivatives. He has published numerous research notes and primers on credit modelling and credit derivatives as well as articles in academic and professional publications. In 2005, he and his team were voted number one for quantitative credit research and modelling in an investor poll taken by Euromoney. He is the author of a noted book on credit derivatives modelling and has contributed to two other books on fixed income securities and portfolio management. He has frequently lectured at industry conferences and in executive education courses.

Dominic O’Kane,PhD in Theoretical Physics (Oxford)



> Specialist in asset valuation, portfolio construction, asset allocation, and asset liability modelling

> Bernd Scherer is Professor of Finance at EDHEC Business School. He has sixteen years of experience in the asset management industry. Prior to joining EDHEC-Risk Institute in 2010, he was Global Head of Quantitative Structured Products at Morgan Stanley in London and Honorary Visiting Professor at the University of London Birkbeck College. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York. His research on investment management, strategic asset allocation, portfolio construction, and asset pricing has been widely published in refereed academic and practitioner journals. He serves as Associate Editor for the Journal of Asset Management. He is also on the management committee of the London Quant Group. Professor Scherer has authored and co-authored reference books on portfolio construction and optimisation, risk management, investment management, and liability hedging. He is regularly invited to present research work at industry conferences, and has significant experience as an instructor of postgraduate and executive education courses.

Bernd Scherer, MSc in Economics (Augsburg),MSc in Economics (London),PhD in Finance (Giessen)

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EDHEC-Risk InstituteProgramme Director, Executive MSc in Risk and Investment Management (Asia)


> Specialist in risk management and optimal portfolio theory

> Stoyan Stoyanov is Professor of Finance at EDHEC Business School and Programme Director of the Executive MSc in Risk and Investment Management for Asia. He has nearly ten years of experience in the field of risk and investment management. Before joining EDHEC-Risk Institute in 2010, he worked for over six years as Head of Quantitative Research for FinAnalytica, a noted financial technology firm. Previously, he worked for three years as a quantitative research engineer at the Bravo Risk Management Group, later acquired by FinAnalytica. Over his professional career, Professor Stoyanov has designed and implemented investment and risk management models for financial institutions, co-developed a patented system for portfolio optimisation in the presence of non-normality, and led a team of engineers designing and planning the implementation of advanced models for major financial institutions. In synergy with his work in the industry, he has acquired advanced academic qualifications and published extensively. His research focuses on probability theory, extreme risk modelling, and optimal portfolio theory. He has published nearly thirty articles in academic journals, contributed to many professional handbooks, and co-authored two books on financial risk assessment and portfolio optimisation.

Stoyan Stoyanov,MSc in Applied Probability and Statistics (Sofia),PhD in Mathematical Finance (Karlsruhe)


Premia Capital ManagementCo-founder

> Specialist in commodities trading and natural resources futures markets

> Hilary Till is a co-founder of proprietary trading firm Premia Capital Management, LLC and a research associate with EDHEC-Risk Institute. She also advises investment managers on natural-resources investing, derivatives, and risk management. Prior to founding Premia Capital Management in 1998, she headed the Derivative Strategies Group of Putnam Investments. Previously, she was an equity derivatives analyst and commodity futures trader with Harvard Management Company. Ms Till is an internationally acknowledged expert in the field of commodities trading and natural resources. Her research work on hedge funds, commodity strategies, and commodity investment has appeared in peer-reviewed academic and practitioner journals. She also sits on the curriculum committee of the Chartered Alternative Investment Analyst Association. She has co-edited a bestselling book on commodity investing and contributed to numerous books on commodity investment and risk management, hedge funds, performance measurement, and investment management. She is regularly invited to speak at industry conferences, and has designed and delivered a successful executive education course on commodity investing for EDHEC-Risk Institute.

Hilary Till,MSc in Statistics (LSE)

London Business School Professor of Finance


Centre for Economic Policy Research Research Fellow

> Specialist in portfolio selection, asset pricing, risk management, and exchange rates.

> Raman Uppal is Professor of Finance at the London Business School and Affiliate Faculty Member of EDHEC-Risk Institute. He previously worked at the University of British Columbia Sauder School of Business. He has held visiting positions at Katholieke Universiteit Leuven, the MIT Sloan School of Management, and the London School of Economics. He has also served as Co-Director of the Financial Economics programme of the Centre for Economic Policy Research (CEPR). His research focuses on optimal portfolio selection and asset allocation in dynamic environments, valuation of securities in capital markets, risk management, and international finance and exchange rates. He has published widely in leading journals and has received numerous research grants and best paper awards for his work. He currently serves as editor for the Journal of Banking and Finance and advisory editor for the Review of Finance. Professor Uppal has co-authored a textbook on international finance and received prizes for excellence in teaching from the Wharton School and the mathematics department at the University of Pennsylvania, the University of British Columbia, and the London Business School.

Raman Uppal,MA in Finance, MBA, and PhD in Finance (Wharton)


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EDHEC-Risk Institute

The Support of a Leading Centre for Applied Financial ResearchEDHEC Business School has an ambitious international research policy: to become an academic institution of reference for the industry in a small number of areas in which it has reached critical mass in terms of expertise and research results.

Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of EDHEC-Risk Institute. Now boasting a team of forty-five professors, engineers, and support staff, and seventeen research associates, it has established itself as Europe’s largest and most influential centre for applied financial research.

Spearheading the school’s “Research for Business” philosophy, EDHEC-Risk Institute conducts world-class academic research and highlights its applications to the industry.

In the context of six industry-sponsored programmesand ten corporate-endowed chairs, its team of fifty-three researchers carries out a wealth of projects focusing on asset allocation and risk management inthe traditional and alternative investment universes.

The scientific quality and operational relevance of these research activities are guaranteed by the institute’s dual management structure—EDHEC-Risk Institute is jointly headed by a director and a research director—and by the oversight exercised by the leading experts serving on its international advisory board.

In keeping with its mission, EDHEC-Risk Institute systematically seeks to validate the academic quality of its research through publications in leading scholarly journals, implements a multifaceted communications policy to inform investors and asset managers on state-of-the-art concepts and techniques, and forms business partnerships to launch innovative products.

To optimise exchanges between the academic and business worlds, EDHEC-Risk Institute maintains a website devoted to asset management research for the industry (www.edhec-risk.com), circulates a monthly newsletter to over 400,000 practitioners, conducts regular industry surveys and consultations, and organises annual conferences attended by over 2,000 institutional investors and asset managers from more than forty countries.

Organised by the executive education arm of EDHEC-Risk Institute, the Executive MSc in Risk and Investment Management programme not only enjoys the full support of the Institute in terms of access to research resources and industry relations but also benefits from its remarkable creative atmosphere.

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Noël Amenc, PhD,Director, EDHEC-Risk InstituteProfessor of Finance,EDHEC Business School

“Executive MSc in Risk & Investment Management

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The Choice of Asset Allocation and Risk ManagementInvestment management, as an industry, is justified by its ability to add value by designing solutions that meet investor needs. For more than fifty years, the industry has focused on security selection as its greatest single source of added value. This narrow focus has kept key sources of added value—asset allocation and risk management—largely out of view. In the wake of recent crises, and given the intrinsic difficulty of delivering value through security selection, the relevance of the old paradigm has been seriously called into question. The separation of alpha and beta that has been made explicit by the core-satellite portfolio management approach has effectively put the emphasis back on risk and assetallocation decisions.

One of the most significant developments in asset pricing theory is its recent emphasis on the close ties binding dynamic portfolio selection and contingent claim pricing. Such path-breaking advances in academic research have blurred the frontiers between investment management and investment banking and led to a new generation of financial

By consistently delivering academic work with remarkable added value for the industry, EDHEC-Risk Institute has

established itself as the premier European centre for applied financial research.

Alain DuboisChairman, Lyxor Asset Management

Lionel Martellini, PhD,Scientific Director, EDHEC-Risk InstituteProfessor of Finance,EDHEC Business School

What makes EDHEC-Risk Institute unique is its determined effort to keep on the cutting edge of research that is of operational relevance to investors, particularly

those with heavy involvement in alternatives. (…) The debate on how to implement technically superior

approaches to old problems will continue for many years to come, and it is critical to have thought-leaders like

EDHEC-Risk Institute help investors and the industry re-evaluate the frameworks in which we operate.

Gumersindo OliverosChief Executive Officuer and Chief Investment Officer,

KAUST Investment Management Company and former Director of Pension Plan and Endowments, The World Bank

engineering techniques that aim to design optimal investment offerings that truly take into account the investor’s specific constraints and objectives. These new offerings draw simultaneously on the benefits of the three competing approaches to risk management—risk diversification, risk hedging, and risk insurance—each of which has hitherto remained largely untapped as a source of added value for the investment management industry. Blending active management with risk control, new dynamic asset allocation techniques offer manifold welfare-enhancing applications in asset-only and asset-liability management.

It is against this backdrop that EDHEC-Risk Institute has decided to structure all of its work around asset allocation and risk management and thereby to put the collective expertise of its permanent staff and research associates at the service of key needs of financial institutions and investors. This strategic choice is applied to all of EDHEC-Risk Institute’s research programmes, whether they involve putting forward new asset-allocation techniques that span traditional and alternative investments, measuring the performance of funds while controlling for their underlying dynamic factor exposures, identifying biases in existing indices and designing superior instruments for benchmarked asset allocation, taking extreme risks into account in the allocation process, using derivatives to implement active portfolio strategies and replicate indices, or improving asset-liability management techniques.

It is also in these particularly exciting times of far-reaching transformation of the financial industry that EDHEC-Risk Institute has launched the Executive MSc in Risk and Investment Management programme to train professionals to embrace and lead the major changes that will reshape investment management.

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“I have been following the research that EDHEC-Risk Institute has been doing over the past few years with great interest. The research programme is of high academic quality but is nevertheless always relevant and applicable from a practitioner’s point of view.

Erik ValtonenChief Investment Officer, AP3

EDHEC-Risk Institute produces high quality research by high quality staff. It is a highly respected institute that can think both literally and figuratively across boundaries. It not only produces sound theoretical frameworks for identifying and analysing risks but is also able to come up with pragmatic solutions for direct implementation by the investment industry, be it pension funds, banks or insurance companies. And on top of this they are really fun to work with!

Jaap MaassenSenior Vice President, APG International and Vice Chairman, European Federation for Retirement Provision


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Six Research Programmes and Ten Research ChairsEDHEC-Risk Institute’s research programmes and corporate-endowed research chairs explore interrelated aspects of asset allocation and risk management to advance the frontiers of knowledge and foster industry innovation.

Asset Allocation and Alternative DiversificationThe research carried out focuses on the benefits, risks, and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC-Risk Institute research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions. The programme includes the “Advanced Modelling for Alternative Investments” research chair, in partnership with Newedge Prime Brokerage.

Performance and Style AnalysisThis programme aims to adapt the portfolio performance and style analysis models and methods to tactical allocation and to new forms of investments. Research looks at performance evaluation in traditional classes–investigating socially responsible investing or analysing rating methods for long-only funds–and at performance evaluation in the hedge fund universe-implementing dynamic factor models. The programme has led to a

business partnership with SIX Telekurs and to the offering of the EuroPerformance-EDHEC style ratings, a service measuring the quality of active management in the European fund management industry.

Indices and BenchmarkingThis programme involves two aspects of research into indices and benchmarks in traditional and alternativeinvestment. The first aspect looks at the quality of indices, the criteria institutions use to select them,and revisits modern portfolio theory to develop newapproaches to building efficient indices. In responseto criticism of the lack of representativeness of hedgefund indices, EDHEC-Risk Institute has proposed aproprietary method of style index construction andlaunched the first composite hedge fund strategyindices in 2003. The Institute also has the EDHEC-Risk IEIF Commercial Property Indices and the FTSE EDHEC-Risk Efficient Index™ series, which were launched in 2009 and 2010 respectively. The second aspect of this research programme examines the use of index products in the core-satellite approach to investment management. This programme includes the “Core-Satellite and ETF Investment” research chair, in partnership with Amundi ETF.

ALM and Asset ManagementThis programme concentrates on the application ofrecent research in asset-liability management (ALM)for institutional, high net-worth, and retail investors.EDHEC-Risk Institute is working on the idea that

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improving asset management and strategic allocationtechniques has a positive impact on the performanceof ALM programmes. It devotes particular attentionto the institutional context of ALM and to the impactof IFRS and new prudential regulations on pension funds and insurance companies. It also aims to extend the realm of ALM to address the particular needs, constraints and objectives of sovereign wealth funds, the private banking clientele, and mass-affluent investors. This programme includes the “Regulation and Institutional Investment” research chair, in partnership with AXA Investment Managers, the “Asset Liability Management and Institutional Investment Management” research chair, in partnership with BNP Paribas Investment Partners,the “Private ALM” research chair, in partnership withORTEC Finance, the “Dynamic Allocation Models andNew Forms of Target-Date Funds” research chair,in partnership with UFG, the “Asset-LiabilityManagement Techniques for Sovereign Wealth FundManagement” research chair, in partnership withDeutsche Bank, and the research chair entitled “The Case for Inflation-Linked Bonds: Issuers’ and Investors’ Perspectives“, in partnership with Rothschild & Cie.

Asset Allocation and Derivative InstrumentsThis research programme focuses on the use of derivative instruments for portfolio management and on dynamic asset allocation methods in asset management and ALM. Key themes include the optimal design of structured products, the role

of structured products and derivatives in asset allocation, “passive” replication of “active” hedge fund indices through portfolios of derivatives, and structured products and derivatives on underlying instruments that are illiquid or lack liquidity. This programme includes the “Structured Products and Derivatives Instruments” research chair, sponsored by the French Banking Federation.

Operational Risks and PerformanceThe financial crisis has been synonymous with a transfer of a portion of investor risk towards the providers of investment and related services. The difficulties that third-party fund management has experienced in the areas of asset security, pricing and compliance with regulation, suggest that this shift in the responsibilities of those involved in fund management will have a significant impact on the profit and loss accounts not only of the fund management firms but also of all the service providers associated with them. Against this backdrop, this research programme aims toidentify the operational risks that parties to the fund management industry bear as a result of their practices and of regulations, assess the importance of these risks and their impact on the parties’ solvency and business models, and propose means of mitigating these risks. The programme includes the “Risk and Regulation in the European Fund Management Industry” research chair, in partnership with CACEIS.

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Constant Dialogue with the IndustryTo maximise exchanges between the academic andbusiness worlds, EDHEC-Risk Institute conducts regular industry surveys and consultations and produces practitioner-oriented documents presenting its results, organises annual conferences for the benefit of institutional investors and asset managers, maintains a website devoted to risk and investment management research for the industry, circulates a monthly newsletter to over 400,000 practitioners worldwide, and has established working relationships with key media groups. To help institutions take full advantage of its research advances, the Institute provides executive training services and enters into business partnerships and joint-ventures.

Publications, Position Papers, and Industry SurveysEDHEC-Risk Institute publications – financial researchthat corresponds to the needs of the corporate worldThe objective of the EDHEC-Risk Institute publications is to break away from a purely academic vision of research, in which any research carried out has been evaluated only by academics and disseminated primarily to other scholars, and to favour instead an approach where business is at the heart of the researcher’s concerns. EDHEC-Risk Institute publications are thus presented in such a way as to render the research conclusions as accessible as possible to finance professionals. Recent publications include a study on asset-liability management decisions in wealth management, a study of the benefits of dynamic asset allocation strategies, and

an evaluation of the impact of regulations on the pensions industry.

Position papers – the EDHEC-Risk Institute stance onissues of relevance to the financial industryEDHEC-Risk Institute has innovated with the concept of the Position Paper. This is a collective commitment on the part of the research team to results that are brought to the attention of financial institutions and society at large. As such, EDHEC-Risk Institute has taken a position on, amongst many other issues, the undesirable effects of banning short sales, the warning signals in the Madoff fraud, the impact of changes to fair value accounting, the role of speculation on the commodity markets, hedge fund replication, the relevance and performance of fundamentally-weighted indices, and optimal implementation of the Solvency II Directive.

Industry surveys – confronting research advanceswith industry best practicesEDHEC-Risk Institute regularly conducts surveys on the state of the institutional investment and asset management industry. These surveys look specifically at the application of recent research advances by investment managers and at best practices in the industry. The three latest surveys are The Hedge Fund Reporting Survey (November 2008, in association with Newedge), The EDHEC European Investment Practices Survey 2008 (January 2008, sponsored by Newedge) and The EDHEC European ETF Survey 2009 (May 2009, sponsored by Amundi ETF).

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Position papers, publications, and surveys receiveconsiderable attention from professionals and the international financial media. The work of EDHEC-Risk Institute has been cited in more than 2,000 articles in the business press.

EDHEC-Risk Institute ConferencesSince 2004, EDHEC-Risk Institute has been organising annual conferences devoted to the buy-side industry across Europe. Supported by the International Herald Tribune, the Wall Street Journal, and CNBC, these events inform professionals on the state of the art in investment management research and create a unique platform for discussing the Institute’s latest research results with senior regulators and leading industry figures. EDHEC-Risk Institute’s independence, the original approach—which leaves time for instruction and discussion during the sessions—and the highly selective speaker panel, make these the must-attend annual events for institutional investors and asset managers who are concerned about best practices in both technical and conceptual terms.

The EDHEC-Risk Alternative Investment Days are recognised as the most relevant and worthwhileindustry conference dedicated to alternativeinvestments. The conference is solidly establishedas the largest in the United Kingdom; over 1,000professionals from more than 40 countries registeredfor its fifth edition (February 2010, London).

The EDHEC-Risk Institutional Days are dedicated to institutional investment management and aim to become the institutional investment event in Europe. The fourth edition of the event (May 2009, Paris) attracted close to 1,000 institutional investors, asset managers, and service providers.

EDHEC-Risk Institute Executive EducationThe executive education arm of EDHEC-Risk Institute is a leading provider of high-end executive courses and helps investment professionals worldwide keep abreast of the latest research advances and the best industry practices. In 2008, it joined Harvard Business School, INSEAD, and London Business School as an organiser of joint seminars with CFA Institute; it is now the most active member in that exclusive club of global thought leaders.

Drawing its faculty from the world’s best universities and open to business executives in full-time jobs, the EDHEC-Risk Institute PhD in Finance creates an extraordinary platform for professional development and industry innovation.

Designed as a direct response to the financial crisis,the Executive MSc in Risk and Investment Management is the latest executive education initiative from EDHEC-Risk Institute.

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About EDHEC Business School

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Over 100 Years of ExcellenceEDHEC Business School has been offering management training and development programmes since 1906. One of the leading business schools in Europe, it delivers degree courses to over 5,000 students and trains 5,500 professionals yearly.

Developing talents through high quality businesseducation, advancing knowledge and impactingbusiness practices, and contributing to the socialand economic debate constitute the School’s purpose. Research conducted by its 126 permanentfaculty members and researchers drives all of theseactivities.

To continue to advance its position amongst the top international institutions, the School has earmarked some 105 million euros for new investment in its research and learning infrastructure over the period from 2007 to 2010.

Distinctive Research PolicyEDHEC Business School’s ambition is to becomethe European school most noted for its impact onthe business world and the economy. The School’sresearch activities support this ambition not only byenriching the learning environment of courses andchallenging participants to seek excellence, but alsoby creating added-value for businesses. The School’s“Research for Business” policy focuses the effortsof research centres on issues that correspond togenuine industry and community expectations.

Research centres publish their results in the mosthighly regarded academic journals as a meansto validate the scientific quality of their work.Research results and applications are then activelydistributed to and discussed with the corporateworld, administrative and legislative authorities,and the general public. The impact on businessesand the economy is the ultimate measure of theresearch’s relevance and success.

The Triple Crown of InternationalAccreditationsThe School was amongst the first institutions worldwide to be awarded the “triple crown” of international accreditations (AACSB, EQUIS, Association of MBAs) for the academic excellence and professional relevance of its programmes, its strong links with the business community, its international orientation, and its commitment to an ongoing process of quality improvement.

Solid Rankings For several decades, the School has been singled out as a top-tier institution for management education in France. It has also recently been ranked as the best school for finance. In the international arena, the Financial Times masters in management rankings puts it at the eleventh place in the world overall and at the fifth place for finance. Distinction for the School’s finance courses has also come in the form of official endorsements by the Monetary Authority of Singapore in the context of its scholarship programmes.

Strong International OrientationEDHEC Business School offers the widest range of fully English-instructed graduate programmes in France, drawing participants from a wide range of countries, cultures, and academic and professional backgrounds. Over seventy nationalities are represented in its student body. This diversity contributes greatly to a rich learning environment that is highly conducive to personal and professional development.

Powerful Alumni NetworkGraduates are lifelong members of a thriving network of over 21,000 professionals present in more than 100 countries and in every industry. Throughout their careers, alumni enjoy a wealth of benefits and activities including career counselling, continuing education, and meetings. Themed professional clubs and learning communities allow alumni to gain and share insights into issues affecting their organisations, industries, and communities. This powerful network contributes to developing the School’s reputation worldwide and enhances its relationship with the global business community.


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Learning Infrastructure and Facilities

Executive ClassroomThe executive classrooms used for the EDHEC-Risk Institute Executive MSc in Risk and Investment Management programme allow on-demand Internet broadcasting of class sessions. Executive MSc in Risk and Investment Management candidates can access the multimedia recordings of all core and elective courses given in London, Nice, and Singapore.

E-learning Platform and Electronic LibraryThe School’s e-learning platform allowsparticipants to view programme information andannouncements, access course material and audio-video recordings of class sessions synchronised withsupporting slides, communicate with faculty andpeers, and set up workgroups. The School’s electronic library offers on- and off-campus full-text access to scientific journals, business periodicals, and a growing collection of books; EDHEC Business School subscribes to EBSCO’s EconLit and Business Source Complete, JSTOR, Emerald, DowJones Factiva, and Wharton Research Data Services.

Campus and Learning CentresThe EDHEC-Risk Institute Executive MSc in Risk and Investment Management is offered both in Europe, from Nice and London, and in Asia, from Singapore. In Europe, the residential weeks take place on EDHEC Business School’s Nice campus and the three-day blocks at the School’s London executive learning centre. In Asia, all courses take place at the School’s executive learning centre in Singapore.

All programme participants will have electronic access to core courses, electives, and exceptional presentations given in Singapore, Nice, and London. Subject to availability, participants in Europe will be allowed to physically attend electives given in Singapore, while candidates in Asia will be able to take electives in London.

EDHEC Business School’s Nice Campus is in an elegant and modern complex overlooking the Mediterranean Sea in the vicinity of the Nice-Côte d’Azur International Airport, which offers daily flights to and from over twenty French destinations and some sixty major international cities. While in Nice, Executive MSc in Risk and Investment Management candidates benefit from a dedicated executive classroom, breakout lounge, and resource centre. Executive learning centres are located in state-of-the-art office buildings in the very heart of the financial districts of Singapore and London; each includes a high-tech executive classroom, offices for permanent resident faculty and researchers and visiting professors, a lounge for students and faculty, and a resource centre. The School’s London executive learning centre is located in the heart of the City, less than half an hour from St Pancras International and London City airport, and less than an hour from Heathrow and Gatwick. Opening in 2011 and serving as the home base for the programme in Asia, the School’s Singapore executive learning centre will be located in the financial centre, half an hour from Changi airport.

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Singapore

London

YEAR

1YE

AR 2

London

Admissions,Fees, and Funding


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Admission Requirements The EDHEC-Risk Institute Executive MSc in Risk and Investment Management is open to investment management practitioners who combine strong academic and professional records with a clear drive to acquire the conceptual and practical tools that will help them lead the changes that will reshape investment management.

Admission to the programme is highly selective. Entrance requirements include: a bachelor’s degree (or equivalent) from an accredited school, college, or university (business management, economics, science, and engineering degrees are preferred); professional experience in finance; good GMAT or GRE scores; and English proficiency. Candidates with outstanding academic and/or professional achievements may apply for GMAT/GRE exemption.

Application Deadlines

Programme Fees

Funding EDHEC-Risk Institute and EDHEC Business School do not offer scholarships to participants in the Executive MSc in Risk and Investment Management programme. Programme participants are usually either self-financed or company-sponsored. As human capital development related expenses, tuition fees and associated costs may, in some jurisdictions, be eligible for specific public or collective funding schemes.

The EDHEC-Risk Institute Executive MSc in Risk and Investment Management is one of the approved programmes under the Finance Scholarship Programme (FSP) administered by the Monetary Authority of Singapore. The FSP was designed to groom a critical mass of specialists in targeted fields such as specialised finance, risk management, finance/applied finance/financial economics, and actuarial science.

Applicants to the programme may be eligible for FSP funding support on a case-by-case basis. Shortlisted candidates will be expected to participate in interviews held in Singapore. Preference will be given to candidates who are Singapore citizens or permanent residents. Interested applicants should submit their applications to the Financial Sector Development Fund (FSDF) Secretariat directly, in May to July each year before the commencement of the postgraduate programme in January the following year. Please contact the FSDF Secretariat at [email protected] for more details.

European programme(January 2011)

Asian programme(January 2011)

April 30, 2010July 16, 2010

October 31, 2010

April 30, 2010July 16, 2010

October 31, 2010

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European programme(January 2011)

Asian programme(January 2011)

GBP22,500 / EUR24,500 SGD42,000

Institute

For more information:

EDHEC-Risk InstituteExecutive MSc Admissions – Mélanie Ruiz393-400 Promenade des AnglaisBP 3116 - 06202 Nice Cedex 3 - FranceTel.: +33 493 187 819 - Fax: +33 493 184 554Web: http://execmsc.edhec-risk.comEmail: [email protected]

Executive MSc in Risk

Documents

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