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

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CV MARTELLINI Lionel...
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Publications edhec

The results obtained using Monte Carlo analysis show that investors should allocate between 45% and 63% of...
Les fonds de pension européens sont les fonds d'investissements qui accumulent l'épargne destinée à...
This chair, which corresponds to a threeyear partnership between Morgan Stanley Investment Management and the EDHEC Risk and Asset Management...
When funding ratio constraints are explicitly accounted for, the optimal policies, for which we obtain...
The author finds that maximum Sharpe ratio portfolios consistent with such expected return proxies, and built upon improved estimates of the...
We analyse this question in the context of a formal continuous-time dynamic asset allocation model for an investor facing liability...
This programme has led to extensive research on indices and benchmarks in both the hedge fund universe and the more traditional investment...
Its aim is to give an account of the current practices in the industry and to contrast these practices with the recent state of the art in...
This paper expands on existing literature, which has focused mostly on the covariance matrix, by introducing improved estimators for the...
Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a...
We also present an application to active style allocation decisions in the hedge fund universe. Overall the results in this paper suggest...
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
We find that variables such as default spread, equity volatility, short-term and forward rates, among others, can be used to predict changes...
In particular, we examine from both a theoretical and an empirical standpoint the respective benefits and limits of the two different and...
Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable...
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
Cette accélération sert actuellement de moteur dans un marché croissant de gestion de patrimoine, créant ainsi la possibilité pour les...
L'objectif des nouvelles normes comptables est d'offrir une meilleure perception de toute société, notamment au regard des risques qu'elle encourt....
European market development : Given that the European exchangetraded fund (ETF) market has been enjoying outstanding development since its...

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