Tuesday, July 25th @ 11:00-12:30 PM (1011 Evans Hall)
Addressing a “Tough Engineering Problem”
Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management
Abstract: Triggered by the introduction of ever-stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the world. As a result of this massive shift of retirement risks on individuals, the investment management industry is facing an increasing responsibility in terms of the need to provide households with suitable retirement solutions. Existing retirement products such as target date funds, annuities and variable annuities suffer from a number of shortcomings which make them ill-suited for investors saving for retirement in the accumulation phase of their life-cycle. In this paper, we describe how dynamic asset pricing theory and financial engineering can be used to design scalable mass-customised forms of retirement solutions that can address the specific retirement needs and constraints of a large number of individuals in a parsimonious manner. Speaker Bio: Lionel Martellini is Professor of Finance at EDHEC Business School, Director of EDHEC-Risk Institute and Senior Scientific Advisor for ERI Scientific Beta. He is a former member of the faculty at the Marshall School of Business, University of Southern California, and has been a visiting fellow at the Operations Research and Financial Engineering department at Princeton University. Lionel holds Master’s Degrees in Business Administration (ESCP Europe), Economics and Statistics (ENSAE) and Mathematics (Paris 6 University), as well as a PhD in Finance from the Haas School of Business, University of California at Berkeley. He also recently completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and has been involved in the LIGO/Virgo international collaboration for the observation of gravitational waves. Lionel is a member of the editorial board of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Retirement. He conducts active research in a broad range of topics investment solutions for individual and institutional investors, equity and fixed-income portfolio construction, risk management and derivatives valuation. His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Financial Times and The Wall Street Journal. He has co-authored reference textbooks on topics related to Alternative Investment Strategies, Fixed-Income Securities and Investment Solutions. Lionel has served as a consultant for institutional investors, investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.