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Professor, Speciality: Finance - Scientific Director of EDHEC-Risk Institute - Senior Scientific Advisor ERI Scientific Beta
Principal Academic Publications: Journal of Pension Economics and Finance (2012 ; 2013), Bankers, Markets & Investors (2012 ; 2013 ; 2014), Journal of Investment Management (2011), European Financial Management Journal (2010), Banques & Marchés (2008), Journal of Mathematical Economics (2008), Journal of Performance Measurement (2003), Journal of Asset Management (2003), Journal of Alternative Investments (2003 ; 2004 ; 2008 ; 2011), Financial Analysts Journal (2003 ; 2011), Economic & Financial Computing (2004), Journal of Portfolio Management (2004 ; 2006 ; 2007 ; 2008 ; 2009 ; 2010 ; 2011 ; 2012 ; 2014), Journal of Fixed Income (2005 ; 2006 ; 2007 ; 2015), Managerial Finance (2005), Journal of Economic Dynamics & Control (2005), Management Science (2006), Journal of Financial Risk Management (2006), Review of Financial Studies (2006 ; 2010), European Financial Management Journal(2007 ; 2010)
Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir:
It has been long argued that equity managers can use derivatives markets to help implement a systematic risk management process designed to enhance the performance of their portfolio (see for example Ineichen (2002) for a recent reference).
Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini, Eric Shirbini:
This publication argues that current smart beta investment approaches only provide a partial answer to the main shortcomings of capitalisation-weighted (cap-weighted) indices, and develops a new approach to equity investing referred to as smart factor investing.
Lionel Martellini, Vincent Milhau, Andrea Tarelli:
The present publication was produced as part of the “Asset Allocation Solutions” research chair at EDHEC-Risk Institute, in partnership with Lyxor Asset Management.
Tiffanie Carli, Romain Deguest, Lionel Martellini:
The present publication, “Improved Risk Reporting with Factor-Based Diversification Measures,” is drawn from the CACEIS research chair on “New Frontiers in Risk Assessment and Performance Reporting” at EDHEC-Risk Institute.
Lionel Martellini, Vincent Milhau:
This paper proposes an empirical analysis of the opportunity gains (costs) involved in introducing (removing) various assets with attractive inflation-hedging properties for long-term investors
facing inflation-linked liabilities.
Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau:
In the present publication, which was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management,” led by Professor Lionel Martellini, we have attempted to assess the views of pension funds and sponsor companies as they relate to their reactions to dynamic liability-driven investing (LDI) strategies and their desire to integrate this approach into their processes.
Lixia Loh, Lionel Martellini, Stoyan Stoyanov:
This study from EDHEC-Risk Institute, entitled “The Local Volatility Factor for Asian Stock Markets,” has shown that using US VIX to hedge the volatility risk of Asian portfolios is not particularly effective.
Lionel Martellini, Vincent Milhau:
The present publication is drawn from the Rothschild & Cie research chair on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives” at EDHEC-Risk Institute.
Romain Deguest, Lionel Martellini, Vincent Milhau:
This paper argues that inflation-linked bonds, in addition to being attractive for issuing corporations, are also attractive for investors such as pension funds facing long-term inflation-linked liabilities.
Romain Deguest, Lionel Martellini, Vincent Milhau:
The present publication, “Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints,” was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management”.
Noël Amenc, Felix Goltz, Lionel Martellini:
Recent years have seen increasing interest in new forms of indexation, referred to as Smart Beta strategies. Investors are attracted by the performance of these indices compared to traditional capweighted indices.
Noël Amenc, François Cocquemas, Lionel Martellini, Samuel Sender:
After a short summary of some of the main challenges facing European pension systems, this paper discusses the Commission’s proposals point by point.
Whether average idiosyncratic volatility has recently risen, whether it is a good predictor for aggregate market returns and whether it has a positive relationship with expected returns in the cross-section are still matters of active debate.Download filesTYPE OF DOCUMENT : WORKING PAPER
New EDHEC-Risk Institute Research Questions Current Corporate Pension Fund ALM Practices and Proposes a New Integrated Model for Analysing the Capital Structure of Corporate Sponsors and Pension Fund Allocation Decisions.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Following a growing concern among investors about the quality of hedge fund index return data, and given the lack of capacity and transparency specific to that industry, this paper questions from an academic perspective whether it is feasible or not to design hedge fund benchmarks satisfying all defining properties for a good index.Download filesTYPE OF DOCUMENT : WORKING PAPER
In an attempt to address the concern over financially illiterate individuals being increasingly responsible for investment decisions related to retirement risk, the financial industry has started to design dedicated mutual fund products known as target date funds.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution.Download filesTYPE OF DOCUMENT : WORKING PAPER
The recent pension crisis has triggered a fierce debate in most developed countries between advocates of a tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management, and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns.Download filesTYPE OF DOCUMENT : WORKING PAPER
The present publication is the first to be drawn from the EDHEC/Morgan Stanley Investment Management research chair on Financial Engineering and Global Alternative Portfolios for Institutional Investors.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution.Download filesTYPE OF DOCUMENT : WORKING PAPER
In this paper, we introduce a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions.Download filesTYPE OF DOCUMENT : WORKING PAPER
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios.Download filesTYPE OF DOCUMENT : WORKING PAPER
This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models.Download filesTYPE OF DOCUMENT : WORKING PAPER
In this paper we provide a detailed critical analysis of various methodologies involved in the so-called passive replication of hedge fund returns, a subject that has sparked renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Noël Amenc, Philippe Malaise, Lionel Martellini:
Tracking error is not necessarily bad. Just like with good and bad cholesterol, there is “good” tracking error, which refers to outperformance of a portfolio with respect to the benchmark, and “bad” tracking error, which refers to underperformance with respect to the benchmark.
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios.Download filesTYPE OF DOCUMENT : WORKING PAPER
The profound changes in the risk management of insurance companies, brought about by the increasing complexity and variety of risks over the last two decades, have made it necessary to revise prudential regulations (Solvency II) and to adapt the international accounting standards (IFRS)Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks.Download filesTYPE OF DOCUMENT : WORKING PAPER
In this paper, we emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, as opposed to the current producer (manager) perspective, and we call for the emergence of new types of offerings with characteristics better suited to the needs of institutional investors.Download filesTYPE OF DOCUMENT : WORKING PAPER
As a consequence of its greater maturity, the hedge fund industry has extended its investor base to
institutional investors, who are now faced with a large number of product offerings including not only single hedge funds, but also funds of funds and, more recently, investible indexes.
The recent pension crisis has triggered a fierce debate in most developed countries between advocates of tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing.Download filesTYPE OF DOCUMENT : POSITION PAPER
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