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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Sat, 1 Dec Macro Matters: Applications to Pricing Pure Endowments ,” Papers Are the tables turning? Thu, 1 Nov Turkey: 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 lioel.

This author has had 1 paper announced in NEP. While the original approach was developed in a simple framework, it can be extended, allowing for the introduction of more complex floors max drawdown risk budget, liability-driven risk budget, competition-related risk budget, etc.

Sporting a safety jacket in a market of weak protections The lending environment is undergoing a worrying pionel. Should a Skeptical Investor Time the Market? Depending on market conditions and parameter values, the risk-controlled motivation may outweigh the tactical motivation, or vice-versa, with risk management always prevailing ultimately. So far, only a minority of all works could be analyzed.

Sat, 1 Sep On the Record: Most Popular Controversial weapons exclusion initiative gathers steam New company takes on the challenge of direct investment Top Asset Managers Given the difficulty in delivering added-value through security selection only, the old paradigm has been questioned. In most developed countries, pension systems are being threatened by rising demographic imbalances as well as lower growth in productivity.

In other words, risk-control technology can be made entirely consistent with internal or external processes aiming at generating active asset allocation views. Currency returns to the fore Sat, 1 Dec German Longevity: Top Pension Funds Generally, the dynamic core-satellite framework can be extended to allow one to take into account forward-looking views if and when available, eg, views based on mean-reversion in equity returns, within the framework of a sound risk-control process.


Note that if the versions have a very similar title and are in the author’s linoel, the links will usually be created automatically. Applications to Life Annuities ,” Papers Open leadership NewGen Talent Centre. Mon, 2 Jul Corrections All material on this site has been provided by the respective publishers and authors. Martelini, 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.

Today, the industry is witnessing a shift in perceived added-value – there is an emerging consensus about maryellini need to move away from stand-alone asset management products towards risk and asset management solutions that can address investors’ needs through customised dynamic asset allocation strategies.

Lionel Martellini

On the other hand, dynamic asset allocation problems are equivalent to asset pricing problems: He conducts active research in a broad range of topics related to investment solutions for individual and institutional investors, equity and lionrl portfolio construction, risk management and derivatives valuation.

Some utility cost calculations for mean variance preferences ,” Journal of Economic Dynamics and ControlElsevier, vol. On a fast-rising volatile bull market for the satellite eg, a stock indexthe time-varying multiplier value would lag with respect to a constant multiplier value calibrated with respect to the long-term unconditional mean.

Working papers Sorry, no citations of working papers recorded. Overall, by explicitly introducing investors’ goals, constraints and risk budgets in the design of asset allocation solutions, the asset management industry has an opportunity to evolve towards providing more value-added towards investment solutions that better fit investors’ need. Ahead of the Curve Ahead of the curve: Labour Economics 1 magtellini Pension funds must tender fiduciary mandates, regulator says.


EconPapers: Lionel Martellini

The goal-directed strategies recognise that the investor has no utility over a ceiling target level of wealth, which represents the investor’s goal actually a capwhich can be a constant, deterministic or stochastic function of time. On the Record On the Record: The risk premium of downturns Alternative risk premia strategies can be helpful ilonel institutional investor portfolios through diversification and risk reduction.

Fully international and directly connected to 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. Theorems and Proofs ,” Papers 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.

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In a nutshell, a pre-commitment to risk management allows one to adjust risk exposure in an optimal state-dependent manner, and therefore to generate the highest exposure to upside potential of PSP martellinu respecting risk constraints. Reporting on natural capital. A key academic insight is that there is a deep correspondence between pricing and portfolio problems. Mathematics and EconomicsElsevier, vol. Citations Many of the citations below have been collected in an experimental project, CitEcwhere a more detailed citation analysis can be found.

Please note that most corrections can take a couple of weeks to filter through the various RePEc mwrtellini.