Lionel Martellini, Ph.D., Director of EDHEC-Risk Institute and Professor of Finance, EDHEC Business School, introduces the centre, the seven research programmes it works on, and its publications. 

CONTACT

E-mail : research@edhec-risk.com

Tel.: +33 (0)4 93 18 32 53

Website: http://investment.solutions.edhec-risk.institute/

 

 

Since 2001, EDHEC Business School has been pursuing an ambitious policy in terms of practically relevant academic research. This policy, known as “Research for Business”, aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results. Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of EDHEC-Risk Institute, which has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors.

This institute now boasts a team of close to 50 permanent professors, engineers and support staff, as well as 34 research associates from the financial industry and affiliate professors. EDHEC-Risk Institute is located at campuses in the City of London in the United Kingdom; Nice and Paris in France. The philosophy of the institute is to validate its work by publication in prestigious academic journals, but also to make it available to professionals and to participate in industry debate through its Position Papers, published studies and global conferences.

To ensure the distribution of its research to the industry, EDHEC-Risk also provides professionals with access to its website, www.edhec-risk.com, which is entirely devoted to international risk and asset management research. The website, which has more than 70,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC-Risk’s analysis and expertise in the area of applied portfolio management research. Its quarterly newsletter is distributed to more than 200,000 readers.

EDHEC-Risk Institute also has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London.

Key Figures

55000
citations in worldwide trade publications
480
papers published
200000
newsletter readers

 

In 2012, EDHEC-Risk Institute signed two strategic partnership agreements, with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of asset-liability management for institutions and individuals, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of risk and investment management.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
 

EDHEC-Risk Institute Website

 

The research team includes 14 professors, reseachers and research engineers working at EDHEC Business School listed below. It is also made up a team of Research associates and Affiliate Faculty.

 

MARTELLINI Lionel, PhD

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

 

AMENC Noël, PhD

Professor - EDHEC Development Director - CEO ERI Scientific Beta
Finance

 

 

CALVET Laurent, PhD

Professor
Finance

 

 

FABOZZI Frank, PhD

Professor
Finance

 

 

FOULQUIER Philippe, PhD

Professor - Director of the EDHEC Financial Analysis and Accounting Research Centre - Academic Director of MSc Financial Management in European Apprenticeship Track
Accounting, Finance

 

 

GIRON Kevin

Quantitative Research Engineer
Finance

 

 

GOLTZ Felix, PhD

Head of Applied Research, EDHEC-Risk Institute - Director of Research, ERI Scientific Beta

 

 

LE SOURD Véronique

Senior Research Engineer
Finance

 

MAESO Jean-Michel

Quantitative Research Engineer

 

 

MEYFREDI Jean-Christophe, PhD

Professor - EDHEC BBA Director
Finance

 

 

MILHAU Vincent, PhD

Research Director
Finance

 

 

REBONATO Riccardo, PhD

Professor
Finance

 

 

 

TESSAROMATIS Nikolaos, PhD

Professor
Finance

 

 

UPPAL Raman, PhD

Professor
Finance

 

The centre currently has seven research programmes:

 

Investment solutions in institutional and individual money management

The research conducted in this program relates to the design of novel welfare-improving forms of investment solutions for institutions and individuals. EDHEC-Risk Institute ambitions to develop strategic partnerships with investment managers worldwide for the launch and promotion of meaningful mass-customized investment solutions for individuals.

On the institutional side, this research program has benefitted from support from the industry for research chairs on dynamic liability-driven investment solutions, on improved methods for inflation-linked liability hedging, and on asset-liability management techniques for sovereign wealth fund management. On the individual side, this research program has benefitted from support from the industry for research chairs on risk allocation goals-based investing, on ALM for individuals, and on improved forms of target date funds.

EDHEC-Risk Institute ambitions to develop strategic partnerships with investment managers worldwide for the launch and promotion of meaningful mass-customized investment solutions for individuals.

Equity risk premia in investment solutions

An efficient harvesting of risk premia in equity markets is a key component in the design on meaningful investment solutions for institutions and individuals.

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.

Fixed-income risk premia in investment solutions

Fixed-income investing is a strategic area of development for EDHEC-Risk Institute, with a number of increasing relevant questions for investors, including smart harvesting of interest rate and credit risk premia, the impact of a zero-interest rate environment on bond portfolio management, or efficient interest rate risk management in retirement investing solutions.

This research program is led by some of world very best experts in the area of fixed-income securities, starting with Riccardo Rebonato, a world leading expert in interest rate risk modelling and management, Frank J. Fabozzi, author and editor of over one hundred reference textbooks in finance, and the eponymous manager of an authoritative series of finance books for practitioners and academics in numerous fields including fixed income analytics, financial modeling, mortgage-backed securities, municipal bonds, credit derivatives, and financial statement analysis, Dominic O'Kane, a specialist in credit modelling, derivative pricing and risk-management who was Head of Fixed Income Quantitative Research for 9 years at Lehman Brothers, and Lionel Martellini, who has co-authored reference textbooks in fixed-income investment strategies.

Alternative risk premia in investment solutions 

The research carried out focuses on the benefits, risks, and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC-Risk research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions.

As part of this research program, EDHEC Risk Institute maintains a series of hedge fund indices as well as a real estate index for the French commercial property market produced in cooperation with IEIF.

Multi-Asset Multi-Factor investment solutions

For more than fifty years, the investment industry has mostly focused on security selection as the main source of added value. This focus on security selection has somewhat distracted the industry from another key source of added value, namely asset allocation decisions. In the face of recent crises, and given the intrinsic difficulty of delivering added value through security selection decisions alone, the relevance of the old paradigm has been questioned with heightened intensity, and a new paradigm is starting to emerge where asset allocation decisions appear as the main source of added value by the investment industry.

The ambition of this research program is to develop new academic insights that can be used towards the design of improved forms of asset allocation solutions. The core challenge in the design of such asset allocation solutions is essentially to find optimal ways to spend dollar budgets as well as risk budgets that investors are reluctantly willing to set, with a focus on allowing the greatest possible access to performance potential while respecting such risk budgets. 

Reporting and regulation for investment solutions

This program aims to adapt the portfolio performance and risk analysis models and methods to the new paradigm of investment solutions. Our research has historically looked at performance evaluation in traditional classes–investigating socially responsible investing or analyzing rating methods for long-only funds–and at performance evaluation in the hedge fund universe (implementing dynamic factor models).

Technology, Big Data and Artificial Intelligence for Investment Solutions

In the era of fourth industrial revolution, every aspect of our lives is rapidly changing. What were once perceived as topics of science fiction – including artificial intelligence, robotics, autonomous vehicles, Internet of Things, and quantum computing – are now being deployed in the real world, with a speed and a scale we have never seen. Thanks to the vast amount of data, increased computing power and newly developed technologies, the tasks that only human beings could do are now more efficiently conducted by and with machines. Without a question, many industries will face fundamental changes in an unprecedented manner – from daily operations to the whole value chains.

The asset management industry is not an exception. In the face of this fast-evolving environment, this research program has a focus on providing a rigorous academic framework to the analysis of the benefits of technology, big data, machine learning and artificial intelligence in the areas of automated wealth management (also known as robo-advisor) technologies, asset allocation decisions and security selection decisions. 

 

This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
Working paper
Marie Lambert
,
Nicolas Papageorgiou
,
Federico Platania
2019
European Journal of Operational Research Volume 262, Issue 2, 16 October 2017, Pages 780-791
Academic publication
Abdolreza Nazemi
,
Farnoosh Fatemi Pour
,
Konstantin Heidenreich
,
Frank J. Fabozzi
2017
The Journal of Fixed Income Fall 2017, Vol. 27, No. 2: pp. 30-36
Academic publication
Vincenzo Russo
,
Frank J. Fabozzi
2017
The Journal of Portfolio Management Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 179-186
Academic publication
Radu Tunaru
,
Frank J. Fabozzi
2017
The Journal of Portfolio Management Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22
Academic publication
Jim Clayron
,
Frank J. Fabozzi
,
S. Michael Giliberto
,
Jacques Gordon
,
Youguo Liang
,
Greg MacKinnon
,
Asieh Mansour
2017
Review of Finance Volume 21, Issue 5, 1 August 2017, Pages 1975–2005
Academic publication
Frank J. Fabozzi
,
Ahmet K. Karagozoglu
,
Na Wang
2017
This position paper documents the rise of the so-called listed infrastructure asset class, which EDHEC considers to be an ill-defined series of...
Position paper
Noël Amenc
,
Frédéric Blanc-Brude
,
Aurélie Chreng
,
Christy Tran
2017
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
Working paper
Marie Lambert
,
Federico Platania
2017
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
Working paper
Kenneth Froot
,
Namhco Kang
,
Gideon Ozik
,
Ronnie Sadka
2017
International Journal of Finance & Economics Volume 22, Issue 3, July 2017 - pp 181–200
Academic publication
Stoyan Stoyanov
,
Lixia Loh
,
Frank J. Fabozzi
2017
The author presented an abbreviated version of this paper during presentations at the Commodity and Energy Markets Conference at Oxford University on...
Working paper
Hilary Till
2017
Bankers, Markets & Investors N° 147 – Mars Avril 2017
Academic publication
Jean-Christophe Meyfredi
,
Dominic O'Kane
2017
Journal of Alternative Investments Summer 2017, Vol. 20, No. 1: pp. 27-42
Academic publication
Jean-Michel Maeso
,
Lionel Martellini
2017
Journal of Derivatives Summer 2017, Vol. 24, No. 4: pp. 80-92
Academic publication
Vincenzo Russo
,
Frank J. Fabozzi
2017
Managerial Finance Vol. 43 N° 6 pp. 679 - 699
Academic publication
Milos Vulanovic
2017
The present survey aims to provide insights into investor perceptions on exchange-traded funds (ETFs) and smart beta strategies. While there is ample...
EDHEC Publication
Noël Amenc
,
Felix Goltz
,
Véronique Le Sourd
2017
This study shows that goal-based investing principles can be used to design scalable retirement investment strategies that meet individual investors...
EDHEC Publication
Lionel Martellini
,
Vincent Milhau
2017
Financial Markets and Portfolio Management - May 2017, Volume 31, Issue 2, pp 137–179
Academic publication
Frédéric Blanc-Brude
,
Timothy Whittaker
,
Simon Wilde
2017
The Journal of Fixed Income - Spring 2017, Vol. 26, No. 4: pp. 113-127
Academic publication
Majid Hasan
,
Frédéric Blanc-Brude
2017
Review of Finance - (2017) 21 (3): 1159-1188.
Academic publication
Adrian Fernandez-Perez,
,
Ana-Maria Fuertes
,
Joelle Miffre
2017

Current Partners

French Asset management Association

"A partnership on a digital outreach project with a focus on “Financial Risk Management as a Source of Performance”, based on a series of videos and webinars."

Presentation of the partnership
 
BDF Gestion

" Research Outputs:Measuring Volatility Pumping Benefits in Equity Markets"

Presentation of the partnership

 

The Institut of “Epargne Immobiliere et Fonciere

" The EDHEC IEIF Quarterly Commercial Property Index (France) was developed by IEIF (Institut de l’Epargne Immobilière et Foncière) and EDHEC-Risk. It measures the monthly performance of an aggregate portfolio of unlisted funds, without financial leverage, representative of the performance of French commercial property."

Presentation of the partnership

 

Merrill Lynch Global Wealth Management (MLWM) 

1. Merrill Lynch Wealth Management private research project on the construction of dynamic retirement solutions

" The focus of the private project with Merrill Lynch Global Wealth Management (MLWM) is to design and calibrate a range of standardised goal-based investment solutions, with a focus on retirement solutions, which can be used by MLWM to address the needs of individual investors."

Presentation of the partnership

2. Merrill Lynch Wealth Management “Risk Allocation Framework for Goal-Driven Investing Strategies” research chair

" The purpose of this research chair is to develop new research on risk allocation and goals-based investing. The initiative involves the pursuit of fundamental research on risk allocation and goals-based wealth management."

Presentation of the partnership

 

PIMCO 

1. PIMCO “Cross-Sectional and Time-Series Estimates of Risk Premia in Bond Markets” Research Chair

" Professor R. Rebonato will conduct research work in the areas work in the areas of cross-sectional and time-series analysis of risk premia in fixed-income markets"

Presentation of the partnership

2. PIMCO “Fixed-Income Term Structure Modelling and Volatility” Research chair

" Professor R. Rebonato conducted research work in the areas of fixed-income modelling and interest-rate volatility in developed markets (DMs)."

Presentation of the partnership

 

Amundi Asset management 

"The Amundi “ETF, Indexing and Smart Beta Investment Strategies” research chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management.The team of researchers at EDHEC-Risk Institute, under the leadership of centre director Lionel Martellini, will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers"

Presentation of the partnership

 

The French Banking Federation (FBF) 

"The aim of the Fédération Bancaire Française (FBF) “Innovations and Regulations in Investment Banking” Research Chair is to provide advanced research in four areas: skewness as an asset class; corporate and sovereign credit default swap (CDS) markets; the evaluation of policies to regulate financial markets; and options on liquidity."

Presentation of the partnership

 

More information about Industry Partners

 

Yale School of Management

"EDHEC-Risk Institute and the Yale School of Management are now jointly offering top-quality executive education courses based on the exceptional strength and relevance of academic research conducted by both Yale SOM and EDHEC-Risk finance faculty. November 2013 saw the launch of a series of joint executive education seminars around the unifying theme, “Advanced Risk and Investment Management”, throughout the US and Europe. The third edition of the seminar series will start again from January 2018."

Presentation of the partnership
 
Princeton University

" In 2012, EDHEC-Risk Institute signed a strategic partnership agreement with the Department of Operations Research and Financial Engineering (ORFE) at Princeton University for research and outreach initiatives in the area of risk and investment management."

Presentation of the partnership

 

Saïd Business School at the University of Oxford

" EDHEC-Risk, JOIM and Oxford University have joined forces for the first time to feature the best of the current state of the art, which has immediate as well as future impact on the practice of Retirement Investing. The JOIM-Oxford-EDHEC Retirement Investing Conference took place from 11 to 13 September 2016 on the Oxford University campus and showcased the highest quality thinking and research in the area. "

Presentation of the partnership

 

Tsinghua University

" EDHEC-Risk Institute, KAIST, Princeton and Tsinghua Universities – have partnered for the first time. Together, they will host an international series of rotational conferences on financial technologies and offer a forum that will facilitate discussion among all interested parties (academics, practitioners and regulators) around the world."

Presentation of the partnership

 

KAIST

" The Four-University Rotating FinTech Conference: Wealth Management Systems for Individual Investors, which took place on the Princeton campus was jointly organised by EDHEC-Risk Institute and the Princeton University ORFE department."

Presentation of the partnership

 

SDA Bocconi - School of Management

" EDHEC Business School is proud to present a new international initiative offered jointly with SDA Bocconi School of Management: the Masterclass on New Frontiers in Retirement Investing"

Presentation of the partnership

More information about Academic Partners

 

Les Echos
24/10/2017
Frédéric Blanc-Brude
,
S.Ro
"(...) La volatilité etle risque attachés à chaque investissement peuvent être très élevés, en particulier lorsque les actifs d’infrastructure...

Top 1000 Funds
16/10/2017
Frédéric Blanc-Brude
"(...) Listed infrastructure, as it is proposed to investors today, exhibits high drawdowns and volatility, does not have better risk-adjusted...
Copyright Top 1000 Funds [Full text]

Accroche-Presse
12/10/2017
Daniel Haguet
,
Coralie Baumard
"(...) Moonshot, une preuve pour Daniel Haguet, professeur de finance à l’Edhec, que « les assureurs sont en train d’intégrer la tendance des...
Copyright Accroche-Presse [Full text]

N3D EUROPE
11/10/2017
Noël Amenc
,
Frédéric Blanc-Brude
"(...) Dans une lettre ouverte à l’ESMA (European Securities and Markets Authority)  mais aussi à la SEC américaine, Noël Amenc, le...
Copyright N3D EUROPE [Full text]

Insurance Asset Management Europe
10/10/2017
Frédéric Blanc-Brude
,
Adam Cadle
"(...) EDHEC has called on regulators to take measures against the risks of investment in so-called listed-infrastructure. This call follows the...
Copyright Insurance Asset Management Europe [Full text]

The Economist
21/09/2017
Frank Fabozzi
"(...) However, a second paper published this year (“Sin Stocks Revisited”, by David Blitz of Robeco Asset Management and Frank Fabozzi of EDHEC...
Copyright The Economist [Full text]

CityWire
12/09/2017
Mark Ebert
"(...) A recent study by the EDHEC Infrastructure Institute (June 2016) examined whether listed infrastructure stocks have the...
Copyright CityWire [Full text]

Bloomberg L.P.
11/09/2017
Frank Fabozzi
,
Cormac Mullen
Ethical fund managers don’t have to be envious of the market-beating returns of so-called sin stocks. They should be able to match them without...
Copyright Bloomberg L.P. [Full text]

Financial Planning
11/09/2017
Frank Fabozzi
"(...) There is nothing mysterious about the performance of sin stocks,” authors David Blitz, Robeco Asset Management’s head of quantitative...
Copyright Financial Planning [Full text]

Open Door Media Publishing Ltd
07/09/2017
Adrien Paredes-Vanheule
Nice-headquartered financial research EDHEC-Risk Institute has appointed five members to its international advisory board.
Copyright Open Door Media Publishing Ltd [Full text]

 

News

- 17-10-2017
A new paper examines the characteristics of the EDHEC Private Infrastructure Equity Index and finds that investors that do not sufficiently diversify their private infrastructure portfolio...
EDHEC Dissemin'actions: October 2017
- 20-09-2017
Sharing its research findings and engaging in exchanges with academic and non-academic...