The EDHEC Risk and Asset Management Research Centre has created a research chair in ALM and Sovereign Wealth Fund Management, in partnership with Deutsche Bank, under the scientific responsibility of Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre.
The rapid growth of sovereign wealth funds and its implications pose a series of challenges for the international financial markets, but also for sovereign states, says Nol Amenc, director of Risk and Asset Management Research Centre, EDHEC.
The purpose of this research chair is to focus on improving our understanding of optimal investment policy risk management practices for SWFs. In particular, we aim to analyse the optimal investment policy of a SWF in a dynamic ALM framework that will allow us to formalise the impact on the optimal allocation policy induced by the presence of risk factors affecting both the state surplus dynamics and the implicit or explicit liabilities the fund is facing.
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