Investment Solutions in Institutional and Individual Money Management

The research conducted in this programme relates to the design of novel welfare-improving forms of investment solutions for institutions and individuals. On the institutional side, this research programme has benefitted from the support of BNP Investment Partners for a research chair on dynamic liability-driven investment solutions. It has also benefitted from the support of the Ontario Teachers’ Pension Plan for a research chair on improved methods for inflation-linked liability hedging, and Deutsche Bank for a research chair on asset-liability management techniques for sovereign wealth fund management.

 

The research conducted at EDHEC-Risk Institute on liability-driven investment solutions has also led to a consulting assignment with CalPERS on the construction of a comprehensive factor-based asset-liability management framework conducted jointly with Professor John Mulvey from Princeton University’s ORFE department.

 

On the individual side, this research programme has benefitted from the support of Merrill Lynch Wealth Management (MLWM) for a research chair on risk allocation goal-based investing. It has built upon previous work supported by ORTEC and Pictet on ALM for individuals, as well as a research chair supported by La Française AM on improved forms of target date funds. The research conducted at EDHEC-Risk Institute on goal-based investment solutions has also led to a consulting assignment with MLWM on the construction of dynamic retirement solutions, as well as the launch of the EDHEC-Princeton retirement goal-based indices, again with the support of MLWM. EDHEC-Risk Institute’s ambition is to develop strategic partnerships with investment managers worldwide for the launch and promotion of meaningful mass-customised investment solutions for individuals.


Introducing “Flexicure” Goal-Based Investing Retirement Solutions

2018

Lionel Martellini, Vincent Milhau, John Mulvey


Applying Goal-Based Investing Principles to the Retirement Problem - Executive Summary

2018

Kevin Giron , Lionel Martellini , Vincent Milhau , John Mulvey , Anil Suri


Applying Goal-Based Investing Principles to the Retirement Problem

2018

Kevin Giron, Lionel Martellini, Vincent Milhau, John Mulvey, Anil Suri


Equity Portfolios With Improved Liability-Hedging Benefits

2017

Guillaume Coqueret, Romain Deguest, Lionel Martellini, Vincent Milhau


Introducing A Comprehensive Investment Framework For Goals-Based Wealth Management

2015

Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang


Hedging Versus Insurance: Long-Horizon Investing With Short-Term Constraints

2013

Romain Deguest, Lionel Martellini,Vincent Milhau


Long-Term Investing Strategies In Private Wealth Management

2012

Noël Amenc, Romain Deguest, Lionel Martellini, Vincent Milhau


What Asset-Liability Management Strategy For Sovereign Wealth Funds?

2012

Frédéric Ducoulombier , Lixia Loh , Stoyan Stoyanov


A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

2012

Rosella Giacomettia, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi


Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

2012

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi


Response to the European Commission White Paper "An Agenda for Adequate, Safe and Sustainable Pensions"

2012

Noël Amenc, François Cocquemas, Lionel Martellini, Samuel Sender


Liability Index Fund: The Liability Beta Portfolio

2011

Ronald J. Ryan, Frank J. Fabozzi


Life-Cycle Investing In Private Wealth Management

2011

Romain Deguest, Lionel Martellini, Vincent Milhau


Household Search Choice: Theory and Evidence

2011

Yosef Bonaparte, Frank J. Fabozzi


EDHEC-Risk European Private Wealth Management Survey

2010

Noel Amenc, Sergio Focardi, Felix Goltz, David Schroder, Lin Tang


New Frontiers In Benchmarking And Liability-Driven Investing

2010

Noel Amenc, Lionel Martellini, Felix Goltz, Vincent Milhau


Nonmyopic Optimal Portfolios in Viable Markets

2010

Jakša Cvitanic, Semyon Malamud


Asset-Liability Management In Private Wealth Management

2009

Noel Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann


Optimal Interest Rate Smoothing under Model Ambiguity

2009

Abraham Lioui, Patrice Poncet


The Benefits of Hedge Funds In Asset Liability Management

2008

Lionel Martellini, Véronique Le Sourd, Volker Ziemann


Static Allocation Decisions in the Presence of Portfolio Insurance

2008

Felix Goltz, Lionel Martellini, Koray D. Simsek


Optimal Investment Decisions When Time Horizon is Uncertain

2007

Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini


Asset-Liability Management Decisions In Private Banking

2007

Noel Amenc, Lionel Martellini, Volker Ziemann


Improving investment performance for pension plans

2006

John M Mulvey, Koray D. Simsek, Zhuojuan Zhang


Modernizing the Defined-Benefit Pension System

2006

John M. Mulvey, Frank J. Fabozzi, William R. Pauling, Koray D. Simsek, Zhuojuan Zhang


Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

2005

Jakša Cvitanic, Ali Lazrak, Lionel Martellini, Fernando Zapatero.


Hedge Funds from the Institutional Investor’s Perspective

2005

Noël Amenc, Lionel Martellini, Felix Goltz


Static Mean-Variance Analysis with Uncertain Time Horizon

2005

Lionel Martellini, Branko Uroševic


Dynamic Asset Pricing Theory with Uncertain Time-Horizon

2004

Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini


Rebalancing Strategies for Long-Term Investors

2002

John M. Mulvey, Koray D. Simsek