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):
Professor of Finance, Edhec Business School and Director, EDHEC-Risk Institute
Senior Research Engineer, EDHEC-Risk Institute
Professor of Finance, EDHEC Business School and Scientific Director, EDHEC-Risk Institute
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.
| Type: | Working paper |
|---|---|
| Date: | le 03/10/2012 |
| Research Cluster : | Finance |
See Also
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 10 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
