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New Frontiers in Benchmarking and Liability-Driven Investing

Authors : Noël Amenc
Professor of finance and director of EDHEC-Risk Institute.

Lionel Martellini
Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.

Felix Goltz
Head of applied research at EDHEC-Risk Institute.

Vincent Milhau
Senior Research Engineer

Meeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as opposed to investment products, customised to meet investors' long-term objectives while respecting the short-term (regulatory or otherwise) constraints they have to face.

EDHEC Publication

EDHEC Publication

We argue in this paper that such new forms of investment solutions should rely on the use of improved performance-seeking and liability-hedging building-block portfolios, as well as on the use of improved dynamic allocation strategies. Although each of the ingredients discussed in this paper may already be found separately in existing investment products, we suggest that it is only by putting the pieces of the puzzle together, and by combining the underlying sources of expertise and added value that the asset management industry will satisfactorily address investors' needs.
Type :
EDHEC Publication
Dates :
Created on September 28, 2010
Further information :
For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ]

The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.

Finance

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