Long-Term Investing Strategies in Private Wealth Management

Noël Amenc, Romain Deguest, Lionel Martellini, Vincent Milhau: The authors argue in this paper that improved long-term investing strategies can be designed for private wealth management.

Author(s) :

Noel Amenc

Professor of Finance, Edhec Business School and Director, EDHEC-Risk Institute

Romain Deguest

Senior Research Engineer, EDHEC-Risk Institute

Lionel Martellini

Professor of Finance, EDHEC Business School and Scientific Director, EDHEC-Risk Institute

Vincent Milhau

Deputy Scientific Director, EDHEC-Risk Institute

These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The resulting asset allocation strategy is based on an industrialization of three key paradigms that have recently emerged in institutional money management: liability-driven investing (LDI), for taking into account private clients’ consumption objectives, life-cycle investing (LCI), for taking into account private clients’ horizon, and risk-control investing (RCI), for taking into account private clients’ risk budgets. Our Monte Carlo experiments reveal a substantial benefit in terms of utility gains from using improved longterm investing strategies over existing industry standards.
Pdf
Long-Term Investing Strategies in Private Wealth Management...
(-1.00 B)
Type : Working paper
Date : le 03/10/2012
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

Actualités
- 10-12-2017
    A very high-level programme offering unique learning experiences Four partners at the forefront of innovation in their fields of expertise   Press Release   Lille...
FT European Business School rankings 2017: EDHEC cements its position among the top 15
Actualités
- 04-12-2017
EDHEC Business School has consolidated its standing among the top 15 business schools...
QS Ranking 2018: EDHEC Global MBA among best programmes in Europe and worldwide
Actualités
- 28-11-2017
EDHEC Global MBA ranked as the 15th MBA in Europe and 29th MBA in the world : the...
Dean of Sungkyunkwan Graduate School of Business visits EDHEC Business School
Actualités
- 27-11-2017
Dean of SKK GSB visits EDHEC Business School in the framework of strategic agreement...