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For more than 50 years, the investment industry has mostly focused on security selection as the main source of added value. This focus has somewhat distracted the industry from another key source of added value: 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 reluctant to set, with a focus on allowing the greatest possible access to performance potential while respecting these budgets.

Recent advancements in robust optimization for investment management


Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi

Kinetic Component Analysis


Riccardo Rebonato, PhD

Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach


Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter

Improved Risk Reporting With Factor-Based Diversification Measures


Tiffanie Carli, Romain Deguest, Lionel Martellini

Smooth monotone covariance for elliptical distributions and applications in finance


Xiaoping Zhou, Dmitry Malioutov, Frank J. Fabozzi, Svetlozar T. Rachev

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View


Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi

Household Search Choice: Theory and Evidence


Yosef Bonaparte, Frank J. Fabozzi

Nonmyopic Optimal Portfolios in Viable Markets


Jakša Cvitanic, Semyon Malamud

Madoff: A Riot of Red Flags


Greg N. Gregoriou, François-Serge Lhabitant

Optimal Interest Rate Smoothing under Model Ambiguity


Abraham Lioui, Patrice Poncet

EDHEC European Investment Practices Survey 2008


Noël Amenc, Felix Goltz, Véronique Le Sourd, Lionel Martellini

Dynamic Asset Pricing Theory with Uncertain Time-Horizon


Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini

Edhec European Asset Management Practices Survey


Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini

Tactical Asset Allocation


Lionel Martellini, Daphné Sfeir

Methodology Applied for the Agefi Asset Management Awards


Noël Amenc, Lionel Martellini, Daphné Sfeir

It's Time for Asset Allocation


Noël Amenc, Lionel Martellini

This programme has benefited 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.