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Presentation of the partner

Merrill Lynch Global Wealth Management (MLWM) is a leading provider of comprehensive wealth management and investment services for individuals and businesses globally. With over 13, 700 Financial Advisors and $1.9 trillion in client balances as of December 31, 2013, it is among the largest businesses of its kind in the world. Within Merrill Lynch Global Wealth Management, the Private Banking and Investment Group provides tailored solutions to ultra affluent clients, offering both the intimacy of a boutique and the resources of a premier global financial services company. These clients are served by more than 150 Private Wealth Advisor teams, along with experts in areas such as investment management, concentrated stock management and intergenerational wealth transfer strategies. Merrill Lynch Global Wealth Management is part of Bank of America Corporation.


Presentation of the private project

The focus of the private project with Merrill Lynch Global Wealth Management (MLWM) is to design and calibrate a range of standardised goal-based investment solutions, with a focus on retirement solutions. The aim is to propose a limited number of retirement solutions that could accommodate the needs of a variety of investors; it will lead to a full solution design exercise, with a focus on scalable standardised goal-based investing solutions, as well as a series of backtests and associated reporting outcomes.

Following the research chair “Risk Allocation Framework for Goal-Driven Investing Strategies”, detailed below, the research project supported by Merrill Lynch WM has provided the conceptual foundations for the design of the EDHEC-Princeton retirement Goal-Based Investing Index series, to be launched in April 2018.

Presentation of the Merrill Lynch Wealth Management “Risk Allocation Framework for Goal-Driven Investing Strategies” research chair


The purpose of the Merrill Lynch Wealth Management “Risk Allocation Framework for Goal-Driven Investing Strategies” research chair is to develop new research on risk allocation and goals-based investing. The initiative involves the pursuit of fundamental research on risk allocation and goals-based wealth management. The aim of the research project is to deliver a mathematically rigorous approach to investing for goals such as capital preservation, retirement income, maintenance of minimum wealth levels and preferences regarding risk and liquidity. The chair is under the scientific responsbility of Professor Lionel Martellini, Director of EDHEC-Risk Institute. [Press release announcing the creation of the research chair (20/03/14)]

Research Outputs: 

Introducing a Comprehensive Investment Framework for Goals-Based Wealth Management March 2015 Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang 

Any investment process should start with a thorough understanding of the investor problem. Individual investors do not need investment products with alleged superior performance; they need investment solutions that can help them meet their goals subject to prevailing dollar and risk budget constraints. This paper develops a general operational framework that can be used by financial advisors to allow individual investors to optimally allocate to categories of risks they face across all life stages and wealth segments so as to achieve personally meaningful financial goals. One key feature in developing the investment framework for goals-based wealth management is the introduction of systematic rule-based multi-period portfolio construction methodologies, which is a required element given that risks and goals typically persist across multiple time frames. [Press release announcing the publication of the research: 09/11/15]