MARTELLINI Lionel, PhD

Director of EDHEC-Risk Institute - Professor of Finance

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@edhec.edu

Bio

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

Pdf
CV MARTELLINI Lionel...
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Publications edhec

It specifically defines a standard formula that must be applied by default and serves as a reference point...
Chapter : Asset Allocation and portfolio construction techniques in designing the performance-seeking portfolio. Ed. WILEY
Four main weighting schemes are analysed: efficient indices, fundamental indices, minimum-volatility indices...
We revisit these questions from a novel perspective, by taking the cross-sectional variance of stock returns...
In the presence of interest rate and inflation risks, we are able to obtain quasiclosed form expressions for...
In the presence of unspanned basis risk modeled as a Brownian bridge process, which explicitly accounts for...
Chapter : Exploiting Asset Liability Management Concepts in Private Wealth Management. Ed. PALGRAVE MACMILLAN
Chapter : Asset Allocation and Portfolio Construction. WILEY PUBLISHING
These funds, whose aim is to provide investors with one-stop solutions to their life-cycle investment needs...
We argue in this paper that such new forms of investment solutions should rely on the use of improved...
In this context, optimal portfolio decisions involving hedge fund style allocation require not only...
Cette défense du FRR pose le problème de la crédibilité du plan de retour à l'équilibre des retraites...
We first provide an overview of the various hedging methodologies that can be used in this incomplete market...
This is a formidable challenge that severely exacerbates the dimensionality problem already present with...
The index construction method goes back to the roots of modern portfolio theory and focuses on the tangency...
Asset-liability management (ALM) refers to the adaptation of the portfolio management process to the...
We find that going beyond the linear case does not necessarily enhance the replication power. On the other...
We analyse this question in the context of a formal continuous-time dynamic asset allocation model for an...

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