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	<title>AllAboutAlpha.com &#187; Search Results  &#187;  martellini</title>
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	<link>http://allaboutalpha.com/blog</link>
	<description>Hedge funds, portable alpha, 130/30 and alpha-centric investing</description>
	<lastBuildDate>Tue, 09 Feb 2010 19:50:30 +0000</lastBuildDate>
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		<title>Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management</title>
		<link>http://allaboutalpha.com/blog/2009/01/01/alternative-investments-for-institutional-investors-risk-budgeting-techniques-in-asset-management-and-asset-liability-management/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/01/alternative-investments-for-institutional-investors-risk-budgeting-techniques-in-asset-management-and-asset-liability-management/#comments</comments>
		<pubDate>Thu, 01 Jan 2009 16:06:07 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Liability Driven Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4491</guid>
		<description><![CDATA[By: Noel Amenc, Lionel Martellini, Volker Ziemann (Edhec)
Published: January 2009
Abstract: This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an assetliability management perspective. Using a vector error correction model (VECM) that explicitly distinguishes between shortterm and long-term dynamics in the joint distribution of asset returns and inflation, we [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/01/alternative-investments-for-institutional-investors-risk-budgeting-techniques-in-asset-management-and-asset-liability-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>London Day Two: Separation Theorem, Core/Satellite Redux &amp; New HF Metrics</title>
		<link>http://allaboutalpha.com/blog/2008/12/10/london-day-two-separation-theorem-coresatellite-redux-new-hf-metrics/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/10/london-day-two-separation-theorem-coresatellite-redux-new-hf-metrics/#comments</comments>
		<pubDate>Wed, 10 Dec 2008 23:32:58 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3881</guid>
		<description><![CDATA[What happens when academics and hedge fund managers mix it up?  Something like this...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/10/london-day-two-separation-theorem-coresatellite-redux-new-hf-metrics/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>London Notebook: HF regulations in 1609, VIX to the rescue, and no premature demise for clones</title>
		<link>http://allaboutalpha.com/blog/2008/12/10/london-notebook-hf-regulations-in-1609-vix-to-the-rescue-and-a-premature-demise-for-clones/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/10/london-notebook-hf-regulations-in-1609-vix-to-the-rescue-and-a-premature-demise-for-clones/#comments</comments>
		<pubDate>Wed, 10 Dec 2008 06:34:29 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3876</guid>
		<description><![CDATA[We're on location in London today reporting on Edhec's annual hedge fund extravaganza.  Like us, this event aims to bridge the gap between academic research and the real world.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/10/london-notebook-hf-regulations-in-1609-vix-to-the-rescue-and-a-premature-demise-for-clones/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Lionel Martellini</title>
		<link>http://allaboutalpha.com/blog/2008/07/15/lionel-martellini/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/15/lionel-martellini/#comments</comments>
		<pubDate>Tue, 15 Jul 2008 04:33:12 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Hall of Fame]]></category>
		<category><![CDATA[Hedge Fund Researchers]]></category>
		<category><![CDATA[Who's Who]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2302</guid>
		<description><![CDATA[Lionel Martellini
Professor of Finance at EDHEC Graduate School of Business (since 2003) and the Scientific Director of Edhec Risk and Asset Management Research Centre.  Former member of the faculty at the Marshall School of Business, University of Southern California.
Bio/Contact Information (Edhec)
Research (SSRN)
Relevant Postings (AlAboutAlpha.com)
 
]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/15/lionel-martellini/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New Edhec HF Replication Research in Limited Release Today</title>
		<link>http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/#comments</comments>
		<pubDate>Thu, 28 Jun 2007 03:42:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/</guid>
		<description><![CDATA[Edhec Risk and Asset Management Research Centre released its latest research into hedge fund replication techniques today at a seminar in London.  Its verdict: "attractive" but "unsatisfying".      ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva</title>
		<link>http://allaboutalpha.com/blog/2007/03/13/edhec-presents-much-anticipated-hedge-fund-replication-study-in-geneva/</link>
		<comments>http://allaboutalpha.com/blog/2007/03/13/edhec-presents-much-anticipated-hedge-fund-replication-study-in-geneva/#comments</comments>
		<pubDate>Wed, 14 Mar 2007 02:20:18 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/03/13/edhec-presents-much-anticipated-hedge-fund-replication-study-in-geneva/</guid>
		<description><![CDATA[Hedge Fund Replication: Old theory, new interest, inconclusive results
Consultant and journalist Pierre Saint-Laurent* continues his coverage of EDHEC&#8217;s Asset Management Days in Geneva this week for All About Alpha.  On Tuesday, he attended a much anticipated presentation on hedge fund replication featuring researchers NoÃ«l Amenc, Jean-Christophe Meyfredi, FranÃ§ois-Serge Lhabitant and Walter GÃ©hin.  Other industry leaders** joined [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/03/13/edhec-presents-much-anticipated-hedge-fund-replication-study-in-geneva/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>All About Alpha Exclusive: An interview with EDHEC&#8217;s Lionel Martellini</title>
		<link>http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/</link>
		<comments>http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/#comments</comments>
		<pubDate>Tue, 13 Mar 2007 01:38:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/</guid>
		<description><![CDATA[A Martini with Martellini
Consultant and journalist Pierre Saint-Laurent* covers EDHEC&#8217;s Asset Management Days in Geneva this week for All About Alpha.  On Monday, he sat down with EDHEC&#8217;s Lionel Martellini to have a frank discussion about hedge fund replication in advance of Martellini&#8217;s much anticipated presentation on Tuesday.
Martellini, one of the top EDHEC researchers, is the co-author [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Asset Liability Management Decisions in Private Banking</title>
		<link>http://allaboutalpha.com/blog/2007/02/15/asset-liability-management-decisions-in-private-banking/</link>
		<comments>http://allaboutalpha.com/blog/2007/02/15/asset-liability-management-decisions-in-private-banking/#comments</comments>
		<pubDate>Thu, 15 Feb 2007 19:18:53 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Liability Driven Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2390</guid>
		<description><![CDATA[By: Noel Amenc, Lionel Martellini, Volker Ziemann, Edhec
Published: February 2007
Abstract:  High net worth individuals (HNWIs) have numerous characteristics, in terms of assets under management and the sophistication of their requirements, that they share with institutional investors. This is a fact that has long been recognised by the marketing departments of asset management companies and private [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/02/15/asset-liability-management-decisions-in-private-banking/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Optimal Mixing of Hedge Funds with Traditional Investments</title>
		<link>http://allaboutalpha.com/blog/2006/09/14/optimal-mixing-of-hedge-funds-with-traditional-investments/</link>
		<comments>http://allaboutalpha.com/blog/2006/09/14/optimal-mixing-of-hedge-funds-with-traditional-investments/#comments</comments>
		<pubDate>Thu, 14 Sep 2006 21:10:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2006/09/14/optimal-mixing-of-hedge-funds-with-traditional-investments/</guid>
		<description><![CDATA[By: NoÃ«l Amenc, Edhec Business School &#38; Lionel Martellini, University of Southern California
Published: February 15, 2003
This is a complex academic paper and is tough to read.  However, beginning on page 44, professors Amenc and Martellini discuss mathematical models to determine the optimal amount of hedge funds in a &#8220;core/satellite&#8221; (i.e. portable alpha) investment approach. 
&#8220;Given that [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2006/09/14/optimal-mixing-of-hedge-funds-with-traditional-investments/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>From Delivering to Packaging Alpha</title>
		<link>http://allaboutalpha.com/blog/2006/07/04/from-delivering-to-packaging-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2006/07/04/from-delivering-to-packaging-alpha/#comments</comments>
		<pubDate>Tue, 04 Jul 2006 23:39:18 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=23</guid>
		<description><![CDATA[By: NoÃ«l Amenc, Philippe Malaise and Lionel Martellini, EDHEC
Published: 2005
Excerpt: 

&#8220;In this paper, &#8220;From Delivering to the Packaging of Alpha. Illustration from Active Bond Portfolio Management: Using Fixed-Income Derivatives to Design Hedge Fund Type Offerings that Better Fit Investors&#8217; Needs&#8221;, the authors emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2006/07/04/from-delivering-to-packaging-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Optimal Allocation to Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2006/03/21/optimal-allocation-to-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2006/03/21/optimal-allocation-to-hedge-funds/#comments</comments>
		<pubDate>Tue, 21 Mar 2006 17:16:25 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2903</guid>
		<description><![CDATA[By: Lionel Martellini, Mathieu Vaissie
Published: March 2006, Risk Magazine
Excerpt: Lionel Martellini and Mathieu Vaissié argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this end, they introduce suitably designed measures [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2006/03/21/optimal-allocation-to-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Managing Pension Assets: from Surplus Optimization to Liability-Driven Investment</title>
		<link>http://allaboutalpha.com/blog/2006/03/15/managing-pension-assets-from-surplus-optimization-to-liability-driven-investment/</link>
		<comments>http://allaboutalpha.com/blog/2006/03/15/managing-pension-assets-from-surplus-optimization-to-liability-driven-investment/#comments</comments>
		<pubDate>Wed, 15 Mar 2006 19:23:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Liability Driven Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2392</guid>
		<description><![CDATA[By: Lionel Martellini
Published: March 2006
Abstract: In this paper, we consider an intertemporal portfolio problem in the presence of liability constraints. Using the value of the liability portfolio as a natural numeraire, we find that the solution to this problem involves a three fund separation theorem that provides formal justification to some recent so-called liability-driven investment [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2006/03/15/managing-pension-assets-from-surplus-optimization-to-liability-driven-investment/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Benefits of Hedge Funds in Asset Liability Management</title>
		<link>http://allaboutalpha.com/blog/2005/09/15/the-benefits-of-hedge-funds-in-asset-liability-management/</link>
		<comments>http://allaboutalpha.com/blog/2005/09/15/the-benefits-of-hedge-funds-in-asset-liability-management/#comments</comments>
		<pubDate>Thu, 15 Sep 2005 19:27:29 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Liability Driven Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2394</guid>
		<description><![CDATA[By: Lionel Martellini, Volker Ziemann
Published: September 2005
Abstract: This paper examines the benefits of including hedge funds for investors facing liability constraints. We cast the problem in a stochastic surplus optimisation setup where hedge funds are treated as a complement, and not as an addition, to traditional asset classes, which alleviates the concern over exante modelling [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2005/09/15/the-benefits-of-hedge-funds-in-asset-liability-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Brave New World of Hedge Fund Indexes</title>
		<link>http://allaboutalpha.com/blog/2002/01/06/the-brave-new-world-of-hedge-fund-indexes/</link>
		<comments>http://allaboutalpha.com/blog/2002/01/06/the-brave-new-world-of-hedge-fund-indexes/#comments</comments>
		<pubDate>Sun, 06 Jan 2002 20:46:34 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4585</guid>
		<description><![CDATA[By: Noël Amenc (EDHEC) and Lionel Martellini (MISYS Asset Management Systems)
Published: January 2002
Abstract: In the last decade, the investment community has witnessed the emergence of style investing, not only in the traditional long-only universe but also in the alternative investment universe. In this paper, we attempt to emphasize the need for a better understanding of [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2002/01/06/the-brave-new-world-of-hedge-fund-indexes/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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