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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A key academic insight is that there is a deep correspondence between pricing and portfolio problems. Are the tables turning? Applications to Pricing Pure Endowments ,” Papers Safe and sound Thu, 1 Nov So far, only a minority of all works could be analyzed.
Note that if the versions have a very similar title and are in the author’s profile, the links will usually be created automatically. The question of hedging Sat, 1 Dec On the Record: 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 Liohel 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.
Given the difficulty in delivering added-value through security lkonel only, the old paradigm has been questioned. 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.
For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or lionle successful businesses wherever they work.
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Currency returns to the fore Sat, 1 Dec German Longevity: See under “Corrections” how you can help improve the citation analysis. Labour Economics 1 Corrections All material on this site has been provided by the respective publishers and authors. Mon, 2 Jul Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department.
Target date funds risk missing the mark for retirees. For general information on how to correct material on RePEc, see these instructions. Home Analysis Guest Viewpoint. These are citations from works listed in RePEc that could be analyzed mechanically. The lending environment is undergoing a worrying change.
Professor Martelluni has served as a consultant for large institutional investors, investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects. If the author is listed in the directory of specialists for this field, a link is also provided.
Corrections All material on this site has been provided by the respective publishers and authors. To link different versions of the same work, where versions have a different title, use this form. Citations Many of the citations below have been collected in an experimental project, CitEcwhere a more detailed citation analysis can be found.
For many decades, the industry has focused on a single source of added-value: Latest Analysis Liabilities remain in focus Given overall pressure on funding rates and falling asset markets, looks martelloni to be a year where good governance and adaptability to external events will be crucial The right tool for the job Applying economics models to understand politics is like trying to use a trowel to saw a piece of wood in half. There, details are also given on how to add or correct references and oionel.
Sporting a safety jacket in a market of weak protections The lending environment is undergoing a worrying change. Too much choice could lead to paralysis, think-tank finds [updated]. RePEc uses bibliographic data supplied by the respective publishers. These are the fields, ordered by number of announcements, along with their dates.
EconPapers: Lionel Martellini
Pension funds must tender fiduciary mandates, regulator says. In most developed countries, pension systems are being threatened by rising demographic imbalances as well as lower growth in productivity.
Theorems and Proofs ,” Papers Labour Economics 1 Some utility cost calculations for mean variance preferences ,” Journal of Economic Dynamics and ControlElsevier, vol. Ahead of the Curve: Thu, 1 Nov Turkey: 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. Reporting on natural capital.
MARTELLINI Lionel, PhD
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.
In a lioenl, a pre-commitment liomel 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 while respecting risk constraints. 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.
Search this site Search. Alternative risk premia strategies can be helpful for institutional investor portfolios through diversification and risk reduction.