Risk-Based Investing & Asset Management
It is an advanced course of 24h to the theory, the methods and the applications of risk-based investing. The course
is given at the University of Evry/Paris-Saclay in the
Master in Asset and Risk Management.
Modern Portfolio Theory
Risk Budgeting Approach
Smart Beta & Risk-Based Indexation
Application to Bond & Credit Portfolios
Risk Parity & Portfolio Allocation
Risk Premia Investing
Risk Premia Theory
Factor Investing in Equities
Factor Investing in Corporate Bonds
Skewness Risk Premia versus Market Anomalies
Asset Allocation with Alternative Risk Premia
Risk Premia on Alternative Assets
Risk-Based and Risk Premia Investing: Two Sides of the Same Coin?
Revisiting the concept of diversification
Volatility diversification versus Skewness diversification
Time horizon, risk hedging & performance generation
Ang, A. (2014), Asset Management - A Systematic Approach to Factor Investing, Oxford University Press
Blin, O., Lee, J. and Teiletche, J. (2017),
risk premia investing: from theory to practice, Unigestion.
Cazalet, Z. and Roncalli, T. (2014), Facts and Fantasies About Factor Investing, SSRN,
Hamdan, R., Pavlowsky F., Roncalli, T. and Zheng B. (2016), A Primer on Alternative Risk Premia, SSRN,
Ilmanen, A. (2011), Expected Returns: An Investor's Guide to Harvesting Market Rewards, Wiley
Jurczenko, E. (2015), Risk-Based and Factor Investing, ISTE Press - Elsevier
Jurczenko, E. (2017), Factor Investing & Alternative Risk Premia, ISTE Press - Elsevier
Roncalli, T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series.
Roncalli, T. (2015), Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation,
Bankers, Markets & Investors, 138, www.ssrn.com/abstract=2321309
Roncalli, T. (2017), Alternative Risk Premia: What Do We Know?, SSRN,
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