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Awards - August 30, 2010

Inquire Europe First Prize 2009/2010 Awarded to EDHEC-Risk Institute Research

      

EDHEC-Risk Institute is proud to announce that the Institute for Quantitative Investment Research (Inquire) Europe has awarded its First Prize for 2009/2010 to Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute, for research presented at the Inquire Autumn Seminar 2009 in Madrid, and developed in conjunction with Vincent Milhau, Research Engineer with EDHEC-Risk Institute. The presentation, entitled "Dynamic Allocation Decisions in the Presence of Funding Ratio Constraints", was cited by Inquire as being "truly outstanding and deserving this recognition."

This presentation was drawn from the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on "Asset-Liability Management and Institutional Investment Management."

This research chair has given rise to an initial research paper, entitled "Measuring the Benefits of Dynamic Asset Allocation Strategies in the Presence of Liability Constraints".

This EDHEC-Risk Institute research paper suggests that it is not so much the presence of funding ratio constraints that is in itself costly for institutional investors as their reluctance to implement risk-management strategies that are optimal given such short-term constraints. According to EDHEC-Risk, dynamic risk-management strategies can turn irreversible contributions into reversible contributions and short-term constraints into long-term constraints, hence the severe opportunity cost for institutional investors that do not follow them.