Lionel Martellini

Professor

EDHEC-Risk Institute former Director<br />

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), 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:

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

30.11.2023 - Article in a peer reviewed journal

Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans

Lionel Martellini, Daniel Mantill, Miguel A. Martinez-Carrasco, Manuel E. Garcia-Huitrón
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Journal of Banking and Finance, Volume 159, November 2023, Pages 1 - 22


31.10.2023 - Article in a peer reviewed journal

Precision Investing: On the Optimal Design of Personalized Performance Portfolios for Liability-Driven Investors

Lionel Martellini, Nicole Beevers, Hannes Du Plessis
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Journal of Portfolio Management, Volume 50, October 2023, Pages 82 - 105


01.11.2022 - Article in a peer reviewed journal

Improving Interest Rate Risk Hedging Strategies through Regularization

Lionel Martellini, Vincent Milhau, Daniel Mantill
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Financial Analysts Journal, Volume 78, November 2022


30.03.2022 - EDHEC publication

ESG & obligations souveraines : un nouveau paradigme ?

Lionel Martellini
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EDHEC Risk Institute, EDHEC VOX, March 2022


01.03.2022 - Article in a peer reviewed journal

Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions

Lionel Martellini
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Journal of Portfolio Management, March 2022



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-Risk Climate Impact Institute Senior Research Engineer
  • Lionel Martellini , Professor
12.07.2019

Digging for goals

  • Mulvey John , Princeton
  • Lionel Martellini , Professor