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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Given the difficulty in delivering added-value through security selection only, the old paradigm has been questioned. Currency returns to the fore Sat, 1 Dec German Longevity: Sat, 1 Sep On the Record: Super-replication versus utility approach ,” International Review of Financial AnalysisElsevier, vol.

The long and the short of it Thu, 1 Nov Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department. This stands in sharp contrast to fix-mix strategies, where the target allocation to the PSP is constant over time, regardless of the distance with respect marteloini the investors’ goals and constraints.

MARTELLINI Lionel, PhD Faculty & Researchers | EDHEC Business School

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.

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. Help us Corrections Found an error or omission? Are the tables turning?

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As opposed to taking a constant multiplier value, as is typically done in base case examples of implementation, one can show lionell significant value can be added by making the multiplier a suitably-defined msrtellini of the forecasted level of tracking error between the core and satellite portfolios. Should a skeptical investor time the market?


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.

Sporting a safety jacket in a market of weak protections The lending environment is undergoing a worrying change.

Lionel Martellini | IDEAS/RePEc

Safe and sound Thu, 1 Nov 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. On the other hand, in a slowly-rising bull market and in all bear market environments, the strategy with time-varying multiplier value would perform better and it reacts fast enough to reversions due to the related increase in volatility.

Alumni Apprenticeship tax Student career centre. Labour Economics 1 Corrections All material mattellini this site has been provided by the respective publishers and authors. Country Reports Nordic Region: Using a parsimonious GARCH model with a Student-t distribution fatter tails for the independent and identically mmartellini 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.

Some utility cost calculations for mean variance preferences ,” Journal of Economic Dynamics and ControlElsevier, vol.

Lionel Martellini

Statistics Access and download statistics for all items NEP Fields NEP is an announcement service ilonel new working papers, with a weekly report in each of many fields. Goal-directed strategies involve an optimal switching at some suitably-defined threshold level, which defines the switching point between fear- and hope-dominated behaviour.


Corrections All material on this site has been provided by the respective publishers and authors.

The Journal of Fixed Income, Summer 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. In a nutshell, a pre-commitment to risk management allows one to adjust risk exposure in an optimal state-dependent manner, and therefore martellinni generate the highest exposure to upside potential of PSP while respecting risk constraints.

To link different versions of the same work, where versions have a different title, use this form. Target date funds risk missing the mark for retirees.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services. Search this site Search. 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 martelini while ensuring the respect of risk limits. The thought is that by forgiving performance beyond a certain threshold, where they have martellini 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.