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Harvesting Risk Premia in Equity and Bond Markets seminar
Tuesday, 11 July 2017 09:00
Thursday, 13 July 2017 17:00
Yale School of Management
165 Whitney Avenue
Tel: +33 (0)4 93 18 3496
Participants will learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets. The seminar introduces the historical evidence for the existence of “smart beta” portfolios based on equity and fixed-income
factors in global markets. The economic rationale behind factor portfolios is explored: why have they provided higher returns historically? What are the risks the factor portfolios are exposed to and when do they manifest themselves? Will factor risk premia continue in the future? How do factors behave during financial crises? How costly are they to implement? How are factor exposures combined into a portfolio? The behavioural foundations
of factor risk premia and portfolio choice are also essential for modern risk managers and portfolio managers to understand, and they will be discussed.
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Standard rate - $6,000 (€5,200)
Remote-learning option-$4800 (€4,160)
CFA members_rate_$4500 (€3,900)
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