Professor, EDHEC-Risk Institute former CEO
EDHEC-Risk Climate Impact Institute
Journal of Portfolio Management (2004 ; 2006 ; 2007 ; 2008 ; 2009 ; 2010 ; 2011 ; 2012 ; 2014 ; 2015 ; 2017 ; 2018 ; 2019 ; 2020 ; 2021 ; 2022), Journal of Fixed Income (2005 ; 2006 ; 2007 ; 2015 ; 2018 ; 2019 ; 2021 ; 2022), Quantitative Finance (2020), The Journal of Retirement (2020), Journal of Corporate Finance (2018), Journal of Financial and Quantitative Analysis (2014), Journal of Pension Economics and Finance (2012 ; 2013 ; 2021), Bankers, Markets & Investors (2012 ; 2013 ; 2014 ; 2015), Journal of Investment Management (2011 ; 2016), European Financial Management Journal (2010), Banques & Marchés (2008), Journal of Mathematical Economics (2008), Journal of Performance Measurement (2003), Journal of Asset Management (2003), Journal of Alternative Investments (2003 ; 2004 ; 2008 ; 2011 ; 2015 ; 2017), Financial Analysts Journal (2003 ; 2011), Economic & Financial Computing (2004), Managerial Finance (2005), Journal of Economic Dynamics & Control (2005), Management Science (2006 ; 2018), Journal of Financial Risk Management (2006), Review of Financial Studies (2006 ; 2010), European Financial Management Journal (2007 ; 2010)
Lionel Martellini s a Professor of Finance at EDHEC Business School and the former Director of EDHEC-Risk Institute. He is a former member of the faculty at the Marshall School of Business, University of Southern California, and has also taught at U.C. Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department. Professor Martellini holds Master's degrees in management (ESCP Europe), economics and statistics (ENSAE), pure mathematics (Paris 6 University), probability and stochastic processes (Paris 6 University), as well as a PhD in finance from the Haas School of Business, University of California at Berkeley. Outside of his activities in finance, he recently completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and has become a member of the LIGO/Virgo international collaboration for the observation of gravitational waves. Professor Martellini is a member of the editorial board of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Retirement. He conducts active research in a broad range of topics related to investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation. His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Economist, The Financial Times and The Wall Street Journal. He has co-authored reference textbooks on topics related to Alternative Investment Strategies, Fixed-Income Securities, Goal-Based Investing and is preparing a new textbook on Investment Solutions. Professor Martellini has served as a consultant for large institutional investors, investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.
Publications of Lionel Martellini
Precision Investing: On the Optimal Design of Personalized Performance Portfolios for Liability-Driven Investors
Journal of Portfolio Management, Volume 50, October 2023, Pages 82 - 105
Improving Interest Rate Risk Hedging Strategies through Regularization
Financial Analysts Journal, Volume 78, November 2022
ESG & obligations souveraines : un nouveau paradigme ?
EDHEC Risk Institute, EDHEC VOX, March 2022
Risk Parity and Beyondâ€”From Asset Allocation to Risk Allocation Decisions
Journal of Portfolio Management, March 2022
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions
Journal of Portfolio Management, Volume 48, February 2022, Pages 108 - 135