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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

2018

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


Kinetic Component Analysis

2016

Riccardo Rebonato, PhD


Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

2015

Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter


Improved Risk Reporting With Factor-Based Diversification Measures

2014

Tiffanie Carli, Romain Deguest, Lionel Martellini


Smooth monotone covariance for elliptical distributions and applications in finance

2014

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


Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

2013

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


Household Search Choice: Theory and Evidence

2011

Yosef Bonaparte, Frank J. Fabozzi


Nonmyopic Optimal Portfolios in Viable Markets

2010

Jakša Cvitanic, Semyon Malamud


Madoff: A Riot of Red Flags

2009

Greg N. Gregoriou, François-Serge Lhabitant


Optimal Interest Rate Smoothing under Model Ambiguity

2009

Abraham Lioui, Patrice Poncet


EDHEC European Investment Practices Survey 2008

2008

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


Dynamic Asset Pricing Theory with Uncertain Time-Horizon

2004

Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini


Edhec European Asset Management Practices Survey

2003

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


Tactical Asset Allocation

2003

Lionel Martellini, Daphné Sfeir


Methodology Applied for the Agefi Asset Management Awards

2002

Noël Amenc, Lionel Martellini, Daphné Sfeir


It's Time for Asset Allocation

2001

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.