Lionel Martellini

Professor

EDHEC Climate Institute Senior Advisor

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 a Professor of Finance at EDHEC Business School and the former Director of EDHEC-Risk Institute. Before joining EDHEC, Professor Martellini was a member of the finance faculty at the Marshall School of Business, University of Southern California. He has also been a visiting Professor at Princeton University and at 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 of his activities in finance, he has completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and conducts research on the foundations of quantum mechanics.

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. 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.

Publications of Lionel Martellini

07.02.2020 - Article in a peer reviewed journal

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

Lionel Martellini
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Quantitative Finance, Volume 20, July 2020, Pages 1185 - 1197


08.01.2020 - Article in a peer reviewed journal

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Lionel Martellini
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Journal of Portfolio Management, January 2020


16.12.2019 - Article in a peer reviewed journal

Measuring Portfolio Rebalancing Benefits in Equity Markets

Lionel Martellini
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Journal of Portfolio Management, Volume 46, March 2020, Pages 94 - 109


10.10.2019 - Article in a peer reviewed journal

Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Lionel Martellini, Riccardo Rebonato
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Journal of Portfolio Management, Volume 46, January 2020, Pages 121 - 140


01.10.2019 - Article in a peer reviewed journal

Defining and Exploiting Value in US Treasury Bonds

Riccardo Rebonato, Lionel Martellini
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Journal of Fixed Income, Volume Fall 2019, September 2019, Pages 1 - 20



Derniers articles EDHEC Vox

02.06.2022

ESG & sovereign bonds: a new paradigm?

  • Lou-Salomé Vallée ,
  • Lionel Martellini , Professor
07.12.2020

ESG : What do investors expect?

  • Véronique Le Sourd , EDHEC Climate Institute Senior Research Engineer
  • Lionel Martellini , Professor