Lionel Martellini
Professor
Founding Director of the EDHEC Quantum Institute
Main contributions
Journal of Banking and Finance (2024), Journal of Portfolio Management (2004 ; 2006 ; 2007 ; 2008 ; 2009 ; 2010 ; 2011 ; 2012 ; 2014 ; 2015 ; 2017 ; 2018 ; 2019 ; 2020 ; 2021 ; 2022; 2023; 2025), 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)
Bio
He holds master’s degrees in management, economics, mathematics and statistics, as well as a PhD in finance from the Haas School of Business, University of California at Berkeley. Outside his work in finance, he earned a PhD in Relativistic Astrophysics and published research on gravitational waves and the foundations of quantum mechanics.
Professor Martellini is a member of the editorial board of The Journal of Portfolio Management. His work related to investment solutions for individual and institutional investors 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 also launched two digital specialization programs, one on Data Science for Investment Management and one on Climate Finance and Sustainable Investing. In parallel to his academic activities, Professor Martellini has been a consultant to large financial institutions and a co-founder of business ventures related to quantitative investment strategies.
Publications of Lionel Martellini
Factor investing: a welfare-improving new investment paradigm or yet another marketing fad?
EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015
Active allocation to smart factor indices
EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015
Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments
Journal of Alternative Investments, July 2015, Pages 48 - 64
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Stock Returns
urnal of Financial and Quantitative Analysis, Volume 49, October 2014, Pages 1133 - 1165
Introducing a comprehensive investment framework for goal-based wealth management
EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2015
Derniers articles EDHEC Vox
(Newsletter #25) Why is it so difficult to make data speak?
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Manuela Rodriguez , Virbac CSR Director
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Luc Bauwens , UCLouvain
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Arnaud Dufays , Associate Professor
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Pascale Taddei Valenza , Associate Professor, Deputy Head of faculty - Accounting, Control and Law
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Michelle Sisto , Associate Professor
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Loick Menvielle , Professor, Management in Innovative Health Chair Director
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Lionel Martellini , Professor
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Abraham Lioui , Professor
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Philippe du Jardin , Professor
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Alena Kostyk , Associate Professor