Pensions industry must use academia’s knowledge to create more imaginative solutions to global pensions crisis, argues Lionel Martellini. By Lionel Martellini. From asset management to risk-and-asset management”. Lionel Martellini has been Scientific Director and Director of Edhec Risk and Asset Management Research Centre since March

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To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. Safe and sound Thu, 1 Nov Note that if the versions have a very similar title and are in the author’s profile, the links will usually be created automatically.

Given the difficulty in delivering added-value through security selection only, the old paradigm has been questioned. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses.

Details about Lionel Martellini

Are the tables turning? Home Analysis Kionel Viewpoint. Professor Martellini has served as a consultant for large institutional investors, investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.

Have your say You must sign in to make a comment Sign In Register. On the other hand, dynamic asset allocation problems are equivalent to asset pricing problems: For mrtellini decades, the lioenl has focused on a single source martelpini added-value: Today, the industry is witnessing a shift in perceived added-value – there is an emerging consensus about the need to move away from stand-alone asset management products towards risk and asset management solutions that can address investors’ needs through customised dynamic asset allocation strategies.

Working papers Sorry, no citations of working papers recorded. Mon, 2 Jul In the past, investment banks have been at ease mratellini dynamic asset allocation techniques, but have typically applied them to inefficient underlying assets typically market cap weighted indiceswithout any systematic effort to design optimal payoffs. So far, only a minority of all works could be analyzed. It is not clear why any investor should want to impose a strict limit mxrtellini upside potential.

You can help correct errors and omissions. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create marhellini businesses wherever they work. The risk premium of downturns Alternative risk premia strategies can be helpful for institutional investor portfolios through diversification and risk reduction. In a nutshell, a pre-commitment to risk management allows one to adjust risk exposure in an optimal state-dependent manner, and therefore to generate the highest exposure to upside potential of PSP while respecting risk constraints.


Latest Analysis Liabilities remain in focus Given overall pressure on funding rates and falling asset markets, looks set to be a year where good governance and adaptability to external events will be crucial The right tool for the job Applying economics models to understand politics is like trying to use a trowel to saw a piece of wood in half.

Labour Economics 1 In other words, risk-control technology can be made entirely consistent with internal or external processes aiming at generating active asset allocation views.

The thought is that by forgiving performance beyond a certain threshold, where they have relatively lower utility from higher wealth, investors benefit from a decrease in the cost of the downside protection short position in a convex payoff in addition to the long position – collar flavour. If the author is listed in the directory of specialists for this field, a link is also provided. Fixed Income Investment Grade.

Lionel Martellini, EDHEC | Magazine | IPE

He conducts martellinni research in a broad range mratellini topics related to investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation.

The Journal of Fixed Income, Summer Alternative risk premia strategies can be helpful for institutional investor portfolios through diversification and risk reduction. Should a Skeptical Investor Time the Market? RePEc uses bibliographic data supplied by the respective publishers. Alumni Apprenticeship tax Student career centre.


His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Economist, The Financial Times and The Wall Street Journal. Open leadership NewGen Talent Centre. Thu, 1 Nov Turkey: Applications marteellini Pricing Pure Endowments ,” Papers There, details are also given on how to add or correct references and citations.


This extension is a critical improvement where the two motivations behind dynamic asset allocation decisions, namely the risk management and the tactical motivations, are often perceived as inconsistent and mutually martelllini. The long and the short of it Thu, 1 Nov Statistics Access and download statistics for all items NEP Fields NEP is an announcement service for new working papers, with a weekly report in each of many fields.

Using a parsimonious GARCH model with a Student-t distribution fatter tails for the independent and identically distributed random shocks that accounts for the presence of autocorrelation, heteroskedasticity and asymmetry leverage effectand re-estimating the model parameters using a growing window sample to estimate the next period variance, we generate forward-looking estimates of tracking error levels, and used these forecasts to dynamically adjust the multiplier values.

The audit F-word Sat, 1 Dec Corrections All material on this site has been provided by the respective publishers and authors.

Search this site Search. Country Reports Nordic Region: The lending environment is undergoing a worrying change.

Goal-directed strategies involve an optimal switching at some suitably-defined threshold level, which defines the switching point between fear- and hope-dominated behaviour. The question of hedging Sat, 1 Dec On the Record: In particular, the focus on adding value through security selection has somewhat distracted the industry from another key source of added value: Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

Sporting a safety jacket in a market of weak protections The lending environment is undergoing a worrying change. September Magazine By Lionel Martellini. Top Pension Funds Super-replication versus utility approach ,” International Review of Financial AnalysisElsevier, vol.

Choosing your mood music. As opposed to taking a constant multiplier value, as is typically done in base case examples of implementation, one can show that significant value can be added by making the multiplier a suitably-defined function of the forecasted level of tracking error between the core and satellite portfolios.