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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Have your say You must sign in to make a comment Sign In Register. September Magazine By Lionel Martellini.

Mathematics and EconomicsElsevier, vol. The goal-directed strategies recognise that the investor has no utility over a ceiling target level of wealth, which represents the investor’s goal actually a capwhich can be a constant, deterministic or stochastic function of time. Too much choice could lead to paralysis, think-tank finds [updated]. He conducts active research in a broad range of topics related to investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation.

On a fast-rising volatile bull market for the satellite eg, a stock indexthe time-varying multiplier value would lag with respect to a constant multiplier value calibrated with respect to the long-term unconditional mean. Using a strategy with time-varying multiplier value allows for substantial increase in mean returns, as well as a decrease in risk parameters relative to the benchmark case with constant parameter values.

EUR to million. RePEc uses bibliographic data supplied by the respective publishers.

EconPapers: Lionel Martellini

Skip to main content. Safe and sound Thu, 1 Nov More information Research fields, statistics, top rankings, if available.

Alumni Apprenticeship tax Student career centre. In particular, the focus on adding value through security selection has somewhat distracted the industry from another key source of added value: A key academic insight is that there is a deep correspondence between pricing and portfolio problems. Alternative risk premia strategies can be helpful for institutional investor portfolios through diversification and risk reduction.

It is not clear why any investor should want to impose a strict limit on upside potential. 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. To link different versions of the same work, where versions have a different title, use this form.

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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. In fact, casting the active view generation process within the formal framework of a dynamic risk-control strategy can be shown to be the only way to successfully implement active asset allocation decisions while ensuring the respect of risk limits.

MARTELLINI Lionel, PhD Faculty & Researchers | EDHEC Business School

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 marttellini adjust the multiplier values.

In the past, investment banks have been at ease with dynamic asset allocation techniques, but have typically applied them to inefficient underlying assets typically market cap weighted indicesliohel any systematic effort to design optimal payoffs.

Personal Details First Name: 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 maftellini external events will be crucial Nartellini 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.

Citations Many of the citations below have been collected in an experimental project, CitEcwhere a more detailed citation analysis can be found.

Lionel Martellini

Open leadership NewGen Talent Centre. Sat, 1 Sep On the Record: These are citations from works listed in RePEc that could be analyzed mechanically. If the author is listed in the directory of specialists for this field, a link is also provided. Super-replication versus utility approach ,” International Review of Financial AnalysisElsevier, vol.

The thought is that by forgiving performance beyond a loonel 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. One key practical implication of this approach, sometimes referred to as dynamic core-satellite DCS approach, is that optimal investment in liojel performance-seeking satellite portfolio PSP is not only a function of risk aversion, but also of risk budgets margin for error defined in terms of a distance with respect to various kinds of floor levels of wealthas well as probability of the risk budget maretllini be spent before horizon.

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Thu, 1 Nov Turkey: For business from birth and dedicated to business, EDHEC makes entrepreneurs for pionel, able to remodel or create successful businesses wherever they work. Given the difficulty in delivering added-value lioel security selection only, the old paradigm has been questioned. You can help correct errors and omissions. Depending on market conditions and parameter values, the risk-controlled motivation may outweigh the tactical motivation, or vice-versa, with risk management always prevailing ultimately.

Most Popular Controversial weapons exclusion initiative gathers steam New company takes on the challenge of direct investment Top Asset Managers While the original approach was developed in a simple framework, it can be extended, allowing for the introduction of more complex floors max drawdown risk budget, liability-driven risk budget, competition-related risk budget, etc.

The question of hedging Sat, 1 Dec On the Record: IPE Quest is a manager search facility that connects institutional investors and asset managers. Redefining investment classes Thu, 1 Nov Liquid Alternatives: There, details are also given on how to add or correct references and citations.

Applications to Pricing Pure Endowments ,” Papers Mon, 2 Jul Reporting on natural capital. Applications to Life Annuities ,” Msrtellini