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Pensions industry must use academia’s knowledge to create more imaginative solutions to global pensions crisis, argues Lionel Martellini. By Lionel Martellini. From asset management to risk-and-asset management”. Lionel Martellini has been Scientific Director and Director of Edhec Risk and Asset Management Research Centre since March

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Mathematics and EconomicsElsevier, vol. Given overall pressure on funding rates and falling asset markets, looks set to be a year where mmartellini governance and adaptability to external events will be crucial.

The audit F-word Sat, 1 Dec In fact, casting the active view generation process within the formal framework of a dynamic risk-control strategy can be shown to be the only way to lionl implement active asset allocation decisions while ensuring the respect of risk limits.

In the past, investment banks have been at ease with dynamic asset allocation techniques, but have typically applied them to inefficient maartellini assets typically market cap weighted indiceswithout any systematic effort to design optimal payoffs.

Applications to Life Annuities ,” Papers Professor Martellini has served as a consultant for large institutional investors, investments banks and asset management firms martelljni a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.

Safe and sound Thu, 1 Nov These are the fields, ordered by number of announcements, along with their dates.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services. Using a parsimonious GARCH model with a Student-t distribution fatter tails for the independent and identically distributed random shocks that accounts for the presence of autocorrelation, heteroskedasticity and asymmetry leverage effectand re-estimating the model parameters using a growing window sample to estimate the next period variance, we generate forward-looking estimates of tracking error levels, and used these forecasts to dynamically adjust the multiplier values.

Alumni Apprenticeship tax Student career centre. Note that if the versions have a very similar title and are in the author’s profile, the links will usually be created automatically. On the other hand, in a slowly-rising bull market and in all bear market environments, the strategy with time-varying multiplier value would perform better and it reacts fast enough to reversions due to the related increase in volatility.

Using a strategy with time-varying multiplier value allows for substantial increase in mean returns, as well as a decrease in risk parameters relative to the benchmark case with constant parameter values.


Details about Lionel Martellini

Country Reports Nordic Region: Working papers Sorry, no citations of working papers recorded. Currency returns to the fore Sat, 1 Dec German Longevity: Given the difficulty in delivering added-value through security selection only, the old paradigm has been questioned. This stands in sharp contrast to fix-mix strategies, where the target allocation to the PSP is constant over time, regardless of the distance with respect to the investors’ goals and constraints.

One key practical implication of this approach, sometimes referred to as dynamic core-satellite DCS approach, is that optimal investment in a performance-seeking satellite portfolio PSP is not only a function of risk aversion, but also of risk budgets margin for error defined in terms of a distance with respect to various kinds of floor levels of wealthas well as probability of the risk budget to be spent before horizon.

Hence, dynamic risk-controlled strategies, which typically imply a reduction to equity allocation when a drop of equity prices has led to a substantial reduction of the risk budget, have often been blamed for their pro-cyclical nature that leads to sell equity holdings in those states of the world where equity markets have become particularly attractive for long-term investors believing in the presence of mean-reversion in equity risk premium.

His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Economist, The Financial Times and The Wall Street Journal. Super-replication versus utility approach ,” International Review of Financial AnalysisElsevier, vol.

Search the site Search. Rethinking auto-enrolment Thu, 1 Nov Benchmarking: As opposed to taking a constant multiplier value, as is typically done in base case examples of implementation, one can show that significant value can be added by making the multiplier a suitably-defined function of the forecasted level of tracking error between the core and satellite portfolios.

Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department.

Lionel Martellini | IDEAS/RePEc

Theoretical arguments show that the quantity relating the risk budget to the allocation to performance-seeking assets, known as the multiplier, should be inversely proportional to the variance of excess returns of the satellite with respect to the core portfolio.

Fixed Income Investment Grade. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. Depending on market conditions and parameter values, the risk-controlled motivation may outweigh the tactical motivation, or vice-versa, with risk lonel always prevailing ultimately. On the other hand, dynamic asset allocation problems are equivalent to asset pricing problems: The question of hedging Sat, 1 Dec On the Record: Search this site Search.


The amrtellini strategies recognise that the investor has no utility over a ceiling target level of wealth, which represents the lonel goal actually a cap lilnel, which can be a constant, deterministic or stochastic function of time. EUR to million. The thought is that by forgiving performance beyond a certain threshold, where they have relatively lower utility from higher wealth, investors benefit from a decrease in the cost of the downside protection short position in a convex payoff in addition to the long position – collar flavour.

Fully international and directly connected marteolini the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity.

For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.

MARTELLINI Lionel, PhD Faculty & Researchers | EDHEC Business School

From a practical standpoint, dynamic allocation strategies allow for the maximisation of investors’ long-term objectives while respecting a number of short-term – self-imposed, accounting, or regulatory – constraints. In most developed countries, pension systems are being threatened by rising demographic imbalances as well as lower growth in productivity.

So far, only a minority of all works could be analyzed. On the Record On the Record: More information Research fields, statistics, top rankings, if available. To link different versions of the same work, where versions have a different title, use this form. RePEc uses bibliographic data supplied by the respective publishers.

A key academic insight is that there is a deep correspondence between pricing martel,ini portfolio problems. Ahead of the Curve: Corrections All material on this site has been provided by the respective publishers and authors. Applications to Pricing Pure Endowments ,” Papers Theorems and Proofs ,” Papers Reporting on natural capital. This author marteellini had 1 paper announced in NEP.

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He conducts active research in a broad range of topics related to martdllini solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation.