Masterclass on Individual Investor Solutions
Advanced Techniques for Wealth and Retail Investments
Pre-Conference Masterclass, EDHEC-Risk Days 2015
The Brewery, London, 23 March 2015
Institute
Masterclass on Individual Investor Solutions, The Brewery, London, 23 March 2015
Introduction
> Any investment process should start with a proper understanding of
investors’ problems. Individual investors, just like institutional investors,
do not need investment products with alleged superior performance.
They need investment solutions that could help them meet their goals
subject to a number of dollar and risk budget constraints. This much
needed focus on a client-centric approach implies that investing in safe
assets is perhaps the riskiest of all strategies for individual investors,
since it generally involves an exceedingly high probability of not
meeting ambitious consumption objectives throughout the life-cycle
given existing budget constraints. It also implies that the traditional
focus on risk-aversion is mostly irrelevant when it comes to capturing
investors’ preferences. The challenges of long-term investment
decisions can only be addressed through a suitably designed dynamic
combination of risky performance-seeking portfolios and dedicated
goal-hedging portfolios, engineered so as to generate the highest
possible probability of meeting individual investors’ aspirational goals
while securing their essential goals.
The masterclass instructor, Lionel Martellini, Professor of Finance at
EDHEC Business School and Scientific Director of EDHEC-Risk Institute,
has published extensively in the area of private wealth management
research and headed up the “Private Asset-Liability Management”
research chair at EDHEC-Risk Institute, endowed by Ortec Finance.
Professor Martellini currently chairs the “Risk Allocation and GoalsBased Wealth Management” research chair at EDHEC-Risk Institute,
endowed by Merrill Lynch Wealth Management. Major EDHEC-Risk
Institute publications in this area of research have included “AssetLiability Management in Private Wealth Management”, “Reactions to an
EDHEC-Risk Study on Asset-Liability Management Decisions in Private
Wealth Management,” and “The EDHEC-Risk European Private Wealth
Management Survey,” all sponsored by Ortec Finance, and “Asset2
Liability Management Decisions in Private Banking,” sponsored by Pictet
& Cie. EDHEC-Risk Institute has also produced notable academic journal
articles in this domain under the stewardship of Professor Martellini,
including “Private Bankers on Private Banking: Financial Risks and Asset/
Liability Management,” Journal of Wealth Management, Winter 2009, and
“Asset-Liability Management in Private Wealth Management,” Journal of
Portfolio Management, Fall 2009.
Investment Solutions
for Individual Investors
> The aim of this half-day masterclass is to provide participants with an
introduction to the modern financial engineering and risk management
techniques which will allow a new breed of investment managers
to design and implement innovative forms of welfare-improving
investment solutions for individual investors. The seminar will also
showcase how the emergence of these new forms of investment
solutions is a profound paradigm change that will have a disruptive
impact on the retail and private wealth management industry, where
existing practices still mostly rely on costly attempts at summarising
investors’ preferences in terms of risk-aversion (balanced funds), timehorizon (target date funds) or capital guarantee (structured products).
> The masterclass is presented in a highly accessible manner by
professor Lionel Martellini who combines academic expertise and
industry experience. It strikes a balance between the exploration of new
investment approaches and an analysis of practical applications, and
contains integrative case studies providing step-by-step implementation
examples in both the retail and individual money management
contexts.
Masterclass on Individual Investor Solutions, The Brewery, London, 23 March 2015
Part I: Goal-based investment solutions in private
wealth management
> Classification of investors’ essential, important and
aspirational goals, and associated risk buckets
> Competition between current wealth and future income
in securing investors’ essential goals
> Case study analysis of goal-based investing strategies
and related forms of reporting with the clients
Part II: Life-cycle investment solutions in retail
money management
> Shortcomings of balanced funds and target date funds
as life-cycle investment solutions
> Improved forms of life-cycle funds with stochastic glide
paths and downside risk control
> Investing for retirement: from improved life cycle funds
to improved variable annuities
Masterclass Instructor
Lionel Martellini
Agenda
Lionel Martellini is Professor of Finance
at EDHEC Business School and Scientific
Director of EDHEC-Risk Institute.
Lionel has consulted on risk management,
alternative investment strategies, and
performance benchmarks for various
institutional investors, investment banks,
and asset management firms, both in Europe and in the United
States. His research has been published in leading academic
journals, including Management Science, the Journal of
Financial and Quantitative Analysis and the Review of
Financial Studies, and leading practitioner journals, including
the Financial Analysts Journal, the Journal of Derivatives,
the Journal of Fixed Income, the Journal of Alternative
Investments, the Journal of Investment Management, and
the Journal of Portfolio Management. He sits on the editorial
board of the Journal of Portfolio Management and the Journal
of Alternative Investments.
Lionel has co-authored and co-edited reference texts on
fixed-income management and alternative investment such
as the much-praised Fixed-Income Securities: Valuation,
Risk Management and Portfolio Strategies (Wiley Finance)
and is regularly invited to deliver presentations at leading
academic and industry conferences. He holds graduate
degrees in business administration, economics, statistics and
mathematics, as well as a PhD in finance from the Haas School
of Business at UC Berkeley.
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Masterclass on Individual Investor Solutions, The Brewery, London, 23 March 2015
Schedule
The programme will run over a half day from 1pm to 6:00 pm. The
two class sessions will be preceded by a Lunch break and a 30 minute
refreshment break which is included.
Venue
The Brewery
52 Chiswell Street
London, EC1Y 4SD
United Kingdom
www.thebrewery.co.uk
Further Information and Registration
For further information,
contact Joanne Finlay at: [email protected]
or on: +33 493 187 837
To register,
visit: www.regonline.co.uk/erimasterclass2015
Fees, Billing & Cancellation policy
Fees
Standard rate: EUR1,200
Early bird rate EUR1,000 available before January 31st
Fees include instruction, documentation, refreshments at breaks, and
lunch.
Accommodation is not included.
Billing and payment
The fee is billed upon registration and must be settled before the seminar
begins. Payment can be made by credit card or wire transfer. VAT at a
rate of 20% applies to all sales. Invoicing will be in Euros.
Transfer or cancellation
Transfer of registration to a colleague, upon written notice, is allowed
and free of charge. Transfer of registration fees to another EDHEC-Risk
Institute programme must be requested in writing and is subject to the
following charges: 45 to 30 days’ notice: 15% of the tuition fee; 29 to
11 days’ notice: 30% of the tuition fee; 10 days’ notice or less: 50% of
the tuition fee.
Cancellations of confirmed seats must be received in writing and are
subject to the following charges: 45 to 30 days’ notice: 25% of the
tuition fee; 29 to 11 days’ notice: 50% of the tuition fee; 10 days’ notice
or less: 100% of the tuition fee.
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Since 2001, EDHEC has been pursuing an ambitious policy in terms of
international research. This policy, known as “Research for Business”,
aims to make EDHEC an academic institution of reference for the
industry in a small number of areas in which the school has reached
critical mass in terms of expertise and research results.
Among these areas, asset and risk management have occupied privileged
positions, leading to the creation in 2001 of a major research facility:
EDHEC-Risk Institute. This institute now boasts a team of over 95
permanent professors, engineers and support staff, as well as 48 research
associates from the financial industry and affiliate professors.
EDHEC-Risk Institute is located at campuses in Singapore, which was
established at the invitation of the Monetary Authority of Singapore
(MAS), the City of London in the United Kingdom, and Nice, France. In
addition, it has a research team located in the United States.
The philosophy of the institute is to validate its work by publication
in prestigious academic journals, but also to make it available to
professionals and to participate in industry debate through its Position
Papers, published studies and conferences. Each year, EDHEC-Risk
organize a conference in London for professionals in order to present the
results of its research, attracting more than 800 professional delegates.
To ensure the distribution of its research to the industry, EDHEC-Risk also
provides professionals with access to its website, www.edhec-risk.com,
which is entirely devoted to international risk and asset management
research. The website, which has more than 65,000 regular visitors, is
aimed at professionals who wish to benefit from EDHEC-Risk’s analysis
and expertise in the area of applied portfolio management research. Its
monthly newsletter is distributed to more than 1,500,000 readers.
EDHEC-Risk Institute also has highly significant executive education
activities for professionals. In partnership with CFA Institute, it has
developed advanced seminars based on its research which are available
to CFA charterholders and have been taking place since 2008 in New
York, Singapore and London. EDHEC-Risk Institute has an original PhD in
Finance programme which, in addition to its highly selective residential
track for young talents worldwide, has an executive track for high
level professionals who already have masters degrees from prestigious
universities and significant industry experience. These professionals are
looking to go beyond their usual activities in order to develop research
on the concepts that are relevant to their occupation. Complementing
the core faculty, this unique PhD in Finance programme has highly
prestigious affiliate faculty from universities such as Princeton, Wharton,
Oxford, Chicago and CalTech.
In 2012, EDHEC-Risk Institute signed two strategic partnership
agreements with the Operations Research and Financial Engineering
department of Princeton University to set up a joint research programme
in the area of risk and investment management, and with Yale School of
Management to set up joint certified executive training courses in North
America and Europe in the area of investment management.
More information: www.edhec-risk.com
Institute
EDHEC-Risk Institute
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Tel: +33 (0)4 93 18 78 24
EDHEC Risk Institute—Europe
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EDHEC Risk Institute—Asia
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www.edhec-risk.com
EDHEC Risk Institute—North America
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Tel: +1 857 239 8891
EDHEC Risk Institute—France
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