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.


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

2015

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


Improved Risk Reporting With Factor-Based Diversification Measures

2014

Tiffanie Carli, Romain Deguest, Lionel Martellini


LTGA Impact Assessment and Bond Management: Has Solvency II reached a Deadlock?

2013

Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier


Investment Solutions For East Asia's Pension Savings

2013

Frédéric Blanc-Brude, François Cocquemas, Albena Georgieva


The Impact of Solvency II on Bond Management

2012

Liliana Arias, Philippe Foulquier, Alexandre Le Maistre


Shedding Light on Non-Financial Risks - A European Survey

2012

Noël Amenc, François Cocquemas, Samuel Sender


Introducing the EDHEC-Risk Solvency Benchmarks - Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints

2012

Noël Amenc, François Cocquemas, Romain Deguest, Philippe Foulquier, Lionel Martellini, Samuel Sender


On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard Formula

2010

Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier, Stéphane Gregoir


MiFID: One Year On

2009

Jean René Giraud


The Impact of Regulations on the ALM of European Pension Funds

2009

Noël Amenc, Lionel Martellini, Samuel Sender


Reactions to an EDHEC Study on the Fair Value Controversy

2008

Noël Amenc, Frédéric Ducoulombier, Philippe Foulquier


The Fair Value Controversy: Ignoring the Real Issue

2008

Lionel Escaffre, Philippe Foulquier, Philippe Touron


Transparency and Accountability

2008

Simeon Djankov, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer


MiFID Pre-Trade Transparency Rules: An Investor's Perspective

2008

Catherine D'Hondt, Jean-René Giraud


The Divergence of Legal Procedures

2008

Aron Balas, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer


The Economic Consequences of Legal Origins

2007

Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer


MiFID: the (in)famous European Directive?

2007

Catherine D'Hondt, Jean-René Giraud


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

2006

Noël Amenc, Lionel Martellini, Philippe Foulquier, Samuel Sender


The Law and Economics of Self-Dealing

2006

Simeon Djankov, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer


Methodology Applied for the Agefi Asset Management Awards

2002

Noël Amenc, Lionel Martellini, Daphné Sfeir