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isPartOf:"The journal of alternative investments"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Brown, David B."
~person:"Martellini, Lionel"
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Portfolio selection
7
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Brown, David B.
Martellini, Lionel
Dai, Min
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The journal of alternative investments
Management science : journal of the Institute for Operations Research and the Management Sciences
The journal of portfolio management : a publication of Institutional Investor
8
The journal of fixed income
3
The journal of portfolio management : JPM
3
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
Faculty & research / Insead : working paper series
2
The journal of fixed income : JFI
2
The review of financial studies
2
Advanced bond portfolio management : best practices in modeling and strategies
1
Financial analysts journal : FAJ
1
Handbuch Alternative Investments ; Bd. 2
1
INSEAD Working Paper
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The Frank J. Fabozzi series
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The handbook of fixed income securities
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ECONIS (ZBW)
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A reinterpretation of the optimal demand for risky assets in fund separation theorems
Deguest, Romain
;
Martellini, Lionel
;
Milhau, Vincent
- In:
Management science : journal of the Institute for …
64
(
2018
)
9
,
pp. 4333-4347
Persistent link: https://www.econbiz.de/10011921525
Saved in:
2
Factor investing and risk allocation : from traditional to alternative risk premia harvesting
Maeso, Jean-Michel
;
Martellini, Lionel
- In:
The journal of alternative investments
20
(
2017
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011745094
Saved in:
3
Toward conditional risk parity : improving risk budgeting techniques in changing economic environments
Martellini, Lionel
;
Milhau, Vincent
;
Tarelli, Andrea
- In:
The journal of alternative investments
18
(
2015/16
)
1
,
pp. 48-64
Persistent link: https://www.econbiz.de/10011307950
Saved in:
4
Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters
Hitaj, Asmerilda
;
Martellini, Lionel
;
Zambruno, Giovanni
- In:
The journal of alternative investments
14
(
2011/12
)
3
,
pp. 6-16
Persistent link: https://www.econbiz.de/10009501188
Saved in:
5
Dynamic portfolio optimization with transaction costs : heuristics and dual bounds
Brown, David B.
;
Smith, James E.
- In:
Management science : journal of the Institute for …
57
(
2011
)
10
,
pp. 1752-1770
Persistent link: https://www.econbiz.de/10009383641
Saved in:
6
Optimal portfolio liquidation with distress risk
Brown, David B.
;
Carlin, Bruce Ian
;
Sousa Lobo, Miguel
- In:
Management science : journal of the Institute for …
56
(
2010
)
11
,
pp. 1997-2014
Persistent link: https://www.econbiz.de/10008748096
Saved in:
7
Satisficing measures for analysis of risky positions
Brown, David B.
;
Sim, Melvyn
- In:
Management science : journal of the Institute for …
55
(
2009
)
1
,
pp. 71-84
Persistent link: https://www.econbiz.de/10003873683
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