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.


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

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2018

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


Applying Goal-Based Investing Principles to the Retirement Problem

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2018

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


Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem"

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2017

Lionel Martellini, Vincent Milhau


Mass Customization Versus Mass Production - How An Industrial Revolution Is About To Take Place In Investment Management And Why It Involves A Shift From Investment Products To Investment Solutions

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2016

Lionel Martellini


Introducing A Comprehensive Investment Framework For Goals-Based Wealth Management

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2015

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


Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds? A Survey Of The LDI Practices For Pension Funds

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2015

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


Equity Portfolios With Improved Liability-Hedging Benefits

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2014

Guillaume Coqueret, Romain Deguest, Lionel Martellini, Vincent Milhau


Who Needs Inflation Hedging? A Quantitative Analysis Of The Benefits Of Inflation-Linked Bonds, Real Estate And Commodities For Long-Term Investors With Inflation-Linked Liabilities

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2014

Lionel Martellini


Growth Optimal Portfolio Insurance For Long-Term Investors

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2014

Daniel Mantilla-García


Should A Skeptical Portfolio Insurer Use An Optimal Or A Risk-Based Multiplier?

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2014

Maxime Bonelli


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

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2013

Romain Deguest, Lionel Martellini,Vincent Milhau


Long-Term Investing Strategies In Private Wealth Management

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2012

Noël Amenc


Dynamic Investment Strategies For Corporate Pension Funds In The Presence Of Sponsor Risk

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2012

Lionel Martellini, Vincent Milhau, Andrea Tarelli


An Integrated Approach To Sovereign Wealth Risk Management

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2011

Bernd Scherer


Life-Cycle Investing In Private Wealth Management

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2011

Romain Deguest


An Integrated Approach To Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions And The Rational Pricing Of Liability Streams

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2010

Vincent Milhau, Lionel Martellini


EDHEC-Risk European Private Wealth Management Survey

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2010

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


New Frontiers In Benchmarking And Liability-Driven Investing

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2010

Noel Amenc, Lionel Martellini, Felix Goltz, Vincent Milhau


From Deterministic To Stochastic Life-Cycle Investing: Implications For The Design Of Improved Forms Of Target Date Funds

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2010

Lionel Martellini


Asset-Liability Management Decisions For Sovereign Wealth Funds

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2010


Macroeconomic Risk Management For Oil Stabilization Funds In GCC Countries

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2009

Bernhard Scherer


Asset-Liability Management In Private Wealth Management

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2009

Noel Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann


Portfolio Choice For Oil-Based Sovereign Wealth Funds

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2009

Bernhard Scherer


A Note On Portfolio Choice For Sovereign Wealth Funds

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2009

Bernhard Scherer


Measuring The Benefits Of Dynamic Asset Allocation Strategies In The Presence Of Liability Constraints

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2009

Lionel Martellini, Vincent Milhau


The Benefits Of Hedge Funds In Asset Liability Management

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2008

Lionel Martellini, Véronique Le Sourd , Volker Ziemann


The Benefits Of Structured Products In Asset-Liability Management

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2008

Lionel Martellini, Vincent Milhau


Reactions To An EDHEC Study On Asset-Liability Management Decisions In Private Wealth Management

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2008

Noel Amenc, Felix Goltz, David Schroder


Asset-Liability Management Decisions In Private Banking

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2007

Noel Amenc, Lionel Martellini, Volker Ziemann


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

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2006

Lionel Martellini