For more than 50 years, the investment industry has mostly focused on security selection as the main source of added value. This focus on security selection has somewhat distracted the industry from another key source of added value, namely asset allocation decisions. In the face of recent crises, and given the intrinsic difficulty of delivering added value through security selection decisions alone, the relevance of the old paradigm has been questioned with heightened intensity, and a new paradigm is starting to emerge where asset allocation decisions appear as the main source of added value from the investment industry.

The ambition of this research programme is to develop new academic insights that can be used to design improved forms of asset allocation solutions. The core challenge in the design of such asset allocation solutions is essentially to find optimal ways of spending dollar and risk budgets that investors are reluctantly willing to set, with a focus on allowing the greatest possible access to performance potential while respecting said budgets. This programme has benefitted from the support of Lyxor Asset Management for research on dynamic forms of risk parity strategies, as well as the efficient harvesting of alternative risk premia across asset classes.


Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

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2016

Kevin Giron , Lionel Martellini


Initial Margin For Non-Centrally Cleared OTC Derivatives: Overview, Modelling And Calibration

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2016


Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

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2015

Noel Amenc, Kumar Gautam, Felix Goltz, Nicolas Gonzalez, Jan-Philip Schade


Optimising The Compression Cycle: Algorithms For Multilateral Netting In OTC Derivatives Markets

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2014

Dominic OKane


EDHEC Risk Publication Superannuation V2.0: Towards The Next Generation Of Pension Funds In Australia

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2014

Frederic Blanc-Brude, Frederic Ducoulombier


Improved Risk Reporting With Factor-Based Diversification Measures

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2014

Tiffanie Carli, Romain Deguest i


Investment Solutions For East Asia's Pension Savings

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2013

Frédéric Blanc-Brude, François Cocquemas


Shifting Towards Hybrid Pension Systems: A European Perspective

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2012

Samuel Sender


The Elephant In The Room: Accounting And Sponsor Risks In Corporate Pension Plans

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2011

Samuel Sender


EDHEC Survey Of The Asset And Liability Management Practices Of European Pension Funds

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2010

Samuel Sender


Reactions To An EDHEC Study On The Impact Of Regulatory Constraints On The ALM Of Pension Funds

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2009

Samuel Sender


Impact Of Regulations On The ALM Of European Pension Funds

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2009


The European Pension Fund Industry Again Beset By Deficits

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2009


Managing Pension Assets: From Surplus Optimization To Liability-Driven Investment

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2006

Lionel Martellini


The Impact Of IFRS And Solvency II On Asset-Liability Management And Asset Management In Insurance Companies

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2006