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)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise: Asset Allocation, Derivatives, Fixed Income Modelling, and Alternative Investment

Bio

Lionel MARTELLINI is the founding director of the EDHEC Quantum Institute, research director at the CFA Institute Research Foundation, and former director of the EDHEC Risk Institute. Before joining EDHEC, Professor MARTELLINI was a faculty member at the Marshall School of Business at the University of Southern California and held visiting positions at Princeton University and the Massachusetts Institute of Technology (MIT).

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

09.08.2015 - EDHEC publication

Factor investing: a welfare-improving new investment paradigm or yet another marketing fad?

Lionel Martellini, Vincent Milhau
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EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015


06.07.2015 - EDHEC publication

Active allocation to smart factor indices

Lionel Martellini, Noël Amenc
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EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015


01.07.2015 - Article in a peer reviewed journal

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Vincent Milhau, Lionel Martellini, Tarelli Andrea
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Journal of Alternative Investments, July 2015, Pages 48 - 64


23.03.2015 - Article in a peer reviewed journal

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Stock Returns

Lionel Martellini
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urnal of Financial and Quantitative Analysis, Volume 49, October 2014, Pages 1133 - 1165


09.03.2015 - EDHEC publication

Introducing a comprehensive investment framework for goal-based wealth management

Lionel Martellini, Vincent Milhau, Deguest Romain, Suri Anil
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EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2015


Derniers articles EDHEC Vox

(Newsletter #25) Why is it so difficult to make data speak?

  • Manuela Rodriguez , Virbac CSR Director
  • Luc Bauwens , UCLouvain
  • Arnaud Dufays , Associate Professor
  • Pascale Taddei Valenza , Associate Professor, Deputy Head of faculty - Accounting, Control and Law
  • Michelle Sisto , Associate Professor
  • Loick Menvielle , Professor, Management in Innovative Health Chair Director
  • Lionel Martellini , Professor
  • Abraham Lioui , Professor
  • Philippe du Jardin , Professor
  • Alena Kostyk , Associate Professor