Lionel Martellini: search on Z-Library

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1

Bond Portfolio Optimization in the Presence of Duration Constraints

Deguest, Romain, Fabozzi, Frank, Martellini, Lionel, Milhau, Vincent

Journal:

The Journal of Fixed Income

Year:

2018

Language:

english

File:

PDF, 2.75 MB

english, 2018

2

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting

Maeso, Jean-Michel, Martellini, Lionel

Journal:

The Journal of Alternative Investments

Year:

2017

Language:

english

File:

PDF, 1.85 MB

english, 2017

3

“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?

Martellini, Lionel, Milhau, Vincent, Mulvey, John

Journal:

The Journal of Portfolio Management

Year:

2019

Language:

english

File:

PDF, 1.36 MB

english, 2019

4

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || An Introduction to Credit Risk Models

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 461 KB

english, 2012

5

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Martellini, Lionel, Milhau, Vincent

Journal:

The Journal of Portfolio Management

Year:

2017

Language:

english

File:

PDF, 903 KB

english, 2017

6

Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks

Amenc, Noël, Goltz, Felix, Lodh, Ashish, Martellini, Lionel

Journal:

The Journal of Portfolio Management

Year:

2014

Language:

english

File:

PDF, 1.49 MB

english, 2014

7

Competing Methods for Option Hedging in the Presence of Transaction Costs

Martellini, Lionel, Priaulet, Philippe

Journal:

The Journal of Derivatives

Year:

2002

Language:

english

File:

PDF, 544 KB

english, 2002

8

Dynamic asset pricing theory with uncertain time-horizon

Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini

Journal:

Journal of Economic Dynamics and Control

Year:

2005

Language:

english

File:

PDF, 364 KB

english, 2005

9

Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management

Goltz, Felix, Martellini, Lionel, Ziemann, Volker

Journal:

The Journal of Fixed Income

Year:

2006

Language:

english

File:

PDF, 405 KB

english, 2006

10

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

Martellini, Lionel, Meyfredi, Jean-Christophe

Journal:

The Journal of Fixed Income

Year:

2007

Language:

english

File:

PDF, 1.66 MB

english, 2007

11

Equity Portfolios with Improved Liability-Hedging Benefits

Coqueret, Guillaume, Martellini, Lionel, Milhau, Vincent

Journal:

The Journal of Portfolio Management

Year:

2017

Language:

english

File:

PDF, 1.31 MB

english, 2017

12

Predictability in the Shape of the Term Structure of Interest Rates

Fabozzi, Frank J, Martellini, Lionel, Priaulet, Philippe

Journal:

The Journal of Fixed Income

Year:

2005

Language:

english

File:

PDF, 178 KB

english, 2005

13

Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions

Amenc, Noël, Martellini, Lionel, Ziemann, Volker

Journal:

The Journal of Portfolio Management

Year:

2009

Language:

english

File:

PDF, 1.11 MB

english, 2009

14

Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance

Amenc, Noël, Goltz, Felix, Lodh, Ashish, Martellini, Lionel

Journal:

The Journal of Portfolio Management

Year:

2012

Language:

english

File:

PDF, 2.22 MB

english, 2012

15

Benefits and risks of alternative investment strategies

Amenc, Noël, Martellini, Lionel, Vaissié, Mathieu

Journal:

Journal of Asset Management

Year:

2003

Language:

english

File:

PDF, 384 KB

english, 2003

16

Optimal investment decisions when time-horizon is uncertain

Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini

Journal:

Journal of Mathematical Economics

Year:

2008

Language:

english

File:

PDF, 492 KB

english, 2008

17

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Martellini, Lionel, Milhau, Vincent, Tarelli, Andrea

Journal:

The Journal of Alternative Investments

Year:

2015

Language:

english

File:

PDF, 1.09 MB

english, 2015

18

Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection

Martellini, Lionel, Ziemann, Volker

Journal:

Review of Financial Studies

Year:

2010

Language:

english

File:

PDF, 288 KB

english, 2010

19

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

Maeso, Jean-Michel, Martellini, Lionel

Journal:

Quantitative Finance

Year:

2020

File:

PDF, 470 KB

2020

20

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Risk Budgeting for Fixed Income Portfolios

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

File:

PDF, 528 KB

2012

21

Static Mean-Variance Analysis with Uncertain Time Horizon

Lionel Martellini and Branko Urošević

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 1.83 MB

english, 2006

22

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Fixed Income Risk Modeling

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 1.59 MB

english, 2012

23

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || A Disciplined Approach to Emerging Markets Debt Investing

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 966 KB

english, 2012

24

Toward the Design of Better Equity Benchmarks

Martellini, Lionel

Journal:

The Journal of Portfolio Management

Year:

2008

Language:

english

File:

PDF, 750 KB

english, 2008

25

Tactical Style Allocation—A New Form of Market Neutral Strategy

Amenc, Noël, Malaise, Philippe, Martellini, Lionel, Sfeir, Daphne

Journal:

The Journal of Alternative Investments

Year:

2003

Language:

english

File:

PDF, 383 KB

english, 2003

26

Proverbial Baskets are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Martellini, Lionel, Milhau, Vincent

Journal:

The Journal of Portfolio Management

Year:

2017

Language:

english

File:

PDF, 716 KB

english, 2017

27

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || The Active Decisions in the Selection of Passive Management and Performance Bogeys

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 1.01 MB

english, 2012

28

Extending Black-Litterman Analysis Beyond the Mean-Variance Framework

Martellini, Lionel, Ziemann, Volker

Journal:

The Journal of Portfolio Management

Year:

2007

Language:

english

File:

PDF, 631 KB

english, 2007

29

Static Mean-Variance Analysis with Uncertain Time Horizon

Martellini, Lionel, Urošević, Branko

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 235 KB

english, 2006

30

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Martellini, Lionel, Milhau, Vincent, Tarelli, Andrea

Journal:

The Journal of Fixed Income

Year:

2015

Language:

english

File:

PDF, 5.36 MB

english, 2015

31

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

Martellini, Lionel, Milhau, Vincent, Tarelli, Andrea

Journal:

Journal of Corporate Finance

Year:

2017

Language:

english

File:

PDF, 395 KB

english, 2017

32

Revisiting Core-Satellite Investing

Amenc, Noël, Malaise, Philippe, Martellini, Lionel

Journal:

The Journal of Portfolio Management

Year:

2004

Language:

english

File:

PDF, 164 KB

english, 2004

33

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Scenario Simulation Model for Fixed Income Portfolio Risk Management

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 703 KB

english, 2012

34

Portfolio Optimization and Hedge Fund Style Allocation Decisions

Amenc, Noël, Martellini, Lionel

Journal:

The Journal of Alternative Investments

Year:

2002

Language:

english

File:

PDF, 382 KB

english, 2002

35

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Credit Derivatives and Hedging Credit Risk

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

File:

PDF, 557 KB

2012

36

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Portfolio Strategies for Outperforming a Benchmark

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 335 KB

english, 2012

37

Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters

Hitaj, Asmerilda, Martellini, Lionel, Zambruno, Giovanni

Journal:

The Journal of Alternative Investments

Year:

2012

Language:

english

File:

PDF, 1.32 MB

english, 2012

38

Semiparametric approach to the detection of non-Gaussian gravitational wave stochastic backgrounds

Martellini, Lionel, Regimbau, Tania

Journal:

Physical Review D

Year:

2014

Language:

english

File:

PDF, 373 KB

english, 2014

39

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Hedging Interest Rate Risk with Term Structure Factor Models

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

File:

PDF, 460 KB

2012

40

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

Garcia, René, Mantilla-García, Daniel, Martellini, Lionel

Journal:

Journal of Financial and Quantitative Analysis

Year:

2014

Language:

english

File:

PDF, 391 KB

english, 2014

41

From Delivering to Packaging of Alpha

Amenc, Noël, Malaise, Philippe, Martellini, Lionel

Journal:

The Journal of Portfolio Management

Year:

2006

Language:

english

File:

PDF, 830 KB

english, 2006

42

Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection

Lionel Martellini and Volker Ziemann

Journal:

Review of Financial Studies

Year:

2010

Language:

english

File:

PDF, 2.30 MB

english, 2010

43

A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

Deguest, Romain, Martellini, Lionel, Milhau, Vincent

Journal:

Management Science

Year:

2017

Language:

english

File:

PDF, 555 KB

english, 2017

44

Hedge Fund Indices: Reconciling Investability and Representativity

Felix Goltz, Lionel Martellini, Mathieu Vaissié

Journal:

European Financial Management

Year:

2007

Language:

english

File:

PDF, 250 KB

english, 2007

45

Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

Cvitanić, Jakša, Lazrak, Ali, Martellini, Lionel, Zapatero, Fernando

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 288 KB

english, 2006

46

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premiums Harvesting

Maeso, Jean-Michel, Martellini, Lionel

Journal:

The Journal of Alternative Investments

Year:

2017

Language:

english

File:

PDF, 1.85 MB

english, 2017

47

Passive Hedge Fund Replication

Amenc, Noël, Géhin, Walter, Martellini, Lionel, Meyfredi, Jean-Christophe

Journal:

The Journal of Alternative Investments

Year:

2008

Language:

english

File:

PDF, 1.53 MB

english, 2008

48

Advanced Bond Portfolio Management (Best Practices in Modeling and Strategies) || Overview of Fixed Income Portfolio Management

Fabozzi, Frank J., Martellini, Lionel, Priaulet, Philippe

Year:

2012

Language:

english

File:

PDF, 204 KB

english, 2012

49

Risk and Asset Management: Introduction

Lionel Martellini

Journal:

European Financial Management

Year:

2009

Language:

english

File:

PDF, 27 KB

english, 2009

50

Dynamic allocation decisions in the presence of funding ratio constraints

MARTELLINI, LIONEL, MILHAU, VINCENT

Journal:

Journal of Pension Economics and Finance

Year:

2012

Language:

english

File:

PDF, 397 KB

english, 2012

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