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

[Student Experience] Immersion trip - Welcome to San Francisco!
News
- 25-05-2018
Immersion Trip abroad: focus on EDHEC students' experience Silicon Valley is well-known...
News
- 25-05-2018
EDHEC-Risk Institute is pleased to announce that Kati Eriksson, Head of Investments, Aalto University Endowment have joined its international advisory board, which brings together...
The EDHEC PhD in Finance Programme adds two new alumni
News
- 21-05-2018
On 17 May 2017, two EDHEC PhD in Finance candidates (executive track), Stefano Dova and...
EDHEC Business School hosts the Family Business Extension  of the 38th Strategic Management Society (SMS) Annual Conference
News
- 18-05-2018
  Like in previous years, the 2018 Family Business Extension will bring together a...