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EDHEC-Risk and Newedge create research chair

director/risk-management/

29 June 2009
| By Corrina Jack |

EDHEC-Risk and the Prime Brokerage Group at Newedge, which services the alternative investment industry, have created a new research chair through which EDHEC researchers will develop advanced modelling techniques that can be used for alternative investment returns.

The purpose of the chair, titled ‘Advance Modelling for Alternative Investments’, is to provide a better understanding of the non-linear relationship between alternative investment returns and the returns on underlying fundamental systematic factors, according to EDHEC-Risk scientific director, Lionel Martellini.

It also analyses the implications in terms of the management of portfolios including alternative investments, Martellini said.

“The ability to rely on robust, sophisticated alternative investment modelling techniques is fundamental for alternative investment performance evaluation, as well as for risk management and asset allocation decisions of portfolios involving alternative investments,” Martellini said.

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