Director of EDHEC-Risk Institute - Senior Scientific Advisor ERI Scientific Beta - Professor

Speciality : Finance
Expertise : Asset Allocation, Derivatives, Fixed Income Modelling, and Alternative Investment

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Email :


Lionel Martellini, PhD, is Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute. He is a former member of the faculty at the Marshall School of Business, University of Southern California, and has also taught at U.C. Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department.

Professor Martellini holds Master’s Degrees in Management (ESCP Europe), Economics (ENSAE), Mathematics (Paris 6 University) and Statistics (Paris 6 University), as well as a PhD in Finance from the Haas School of Business, University of California at Berkeley. Outside of his activities in finance, he recently completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and has become a member of the LIGO/Virgo international collaboration for the observation of gravitational waves.

Professor Martellini is a member of the editorial board of The Journal of Portfolio Management,  The Journal of Alternative Investments, and The Journal of Retirement. He conducts active research in a broad range of topics related to investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation. His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Financial Times and The Wall Street Journal. He has co-authored reference textbooks on topics related to Alternative Investment Strategies, Fixed-Income Securities, and is preparing a new textbook on Investment Solutions.

Professor Martellini 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.


Main academic publications

Journal of Financial and Quantitative Analysis (2014), Journal of Pension Economics and Finance (2012 ; 2013), Bankers, Markets & Investors (2012 ; 2013 ; 2014 ; 2015), 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 ; 2015 ; 2017), Financial Analysts Journal (2003 ; 2011), Economic & Financial Computing (2004), Journal of Portfolio Management (2004 ; 2006 ; 2007 ; 2008 ; 2009 ; 2010 ; 2011 ; 2012 ; 2014 ; 2015 ; 2017), 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)

Documents to download

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Publications edhec

Factor investing is an investment paradigm under which an investor decides how much to allocate to various factors, as opposed to various securities...
Journal of Alternative Investments Summer 2017, Vol. 20, No. 1: pp. 27-42
This study shows that goal-based investing principles can be used to design scalable retirement investment strategies that meet individual investors...
The Journal of Portfolio Management, 2017, Vol. 43, No. 2: pp. 37-49, January 2017
Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common...
On the institutional side, pension funds have been particularly impacted by the shift in most accounting standards towards the valuation of pension...
Any investment process should start with a thorough understanding of the investor problem. Individual...
Investment practice has recently witnessed the emergence of a new approach known as factor investing, which...
The purpose of this research chair, led by Professor Noël Amenc, Director of EDHEC-Risk Institute, and...
Bankers, Markets & Investors, No.139, November-December 2015.
Chapter: Designing Multi-factor Equity Portfolios. Ed.ELSEVIER
It provides an assessment of the benefits of simultaneously addressing the two main shortcomings of cap-...
This chair is examining performance portfolios with improved hedging benefits, hedging portfolios with...
Our conclusion is that progress remains to be made in the area of appropriate risk management for pension...
This chair looks at improved risk reporting, integrating the shift from asset allocation to factor...


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