New Frontiers in Benchmarking and Liability-Driven Investing

Meeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as opposed to investment products, customised to meet investors' long-term objectives while respecting the short-term (regulatory or otherwise) constraints they have to face.

Author(s):

Noel Amenc

Professor of finance and director of EDHEC-Risk Institute.

Lionel Martellini

Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.

Felix Goltz

Head of applied research at EDHEC-Risk Institute.

Vincent Milhau

Senior Research Engineer

We argue in this paper that such new forms of investment solutions should rely on the use of improved performance-seeking and liability-hedging building-block portfolios, as well as on the use of improved dynamic allocation strategies. Although each of the ingredients discussed in this paper may already be found separately in existing investment products, we suggest that it is only by putting the pieces of the puzzle together, and by combining the underlying sources of expertise and added value that the asset management industry will satisfactorily address investors' needs.

Type: EDHEC Publication
Date: le 28/09/2010
Research Cluster : Finance

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