Narrow search
Showing 1 - 10 of 37
Cover Image
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
Cover Image
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain; Fabozzi, Frank J.; Martellini, Lionel; … - In: The journal of fixed income 28 (2018) 1, pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
Cover Image
Dynamic allocation decisions in the presence of funding ratio constraints
Martellini, Lionel; Milhau, Vincent - In: Journal of pension economics and finance 11 (2012) 4, pp. 549-580
Persistent link: https://www.econbiz.de/10009712057
Cover Image
Asset-liability management in private wealth management
Amenc, Noël; Martellini, Lionel; Milhau, Vincent; … - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 100-120
Persistent link: https://www.econbiz.de/10003909597
Cover Image
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
Cover Image
Hedging inflation-linked liabilities without inflation-linked instruments through long/short investments in nominal bonds
Martellini, Lionel; Milhau, Vincent; Tarelli, Andrea - In: The journal of fixed income 24 (2015) 3, pp. 5-29
Persistent link: https://www.econbiz.de/10011292829
Cover Image
Proverbial baskets are uncorrelated risk factors! : a factor-based framework for measuring and managing diversification in multi-asset investment solutions
Martellini, Lionel; Milhau, Vincent - In: The journal of portfolio management : a publication of … 44 (2018) 2, pp. 8-22
Persistent link: https://www.econbiz.de/10011879608
Cover Image
Equity portfolios with improved liability-hedging benefits
Coqueret, Guillaume; Martellini, Lionel; Milhau, Vincent - In: The journal of portfolio management : a publication of … 43 (2017) 2, pp. 37-49
Persistent link: https://www.econbiz.de/10011687250
Cover Image
Measuring and managing the opportunity cost of downside risk protection
Beevers, Nicole; Du Plessis, Hannes; Martellini, Lionel; … - In: The journal of portfolio management : JPM 48 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012656106
Cover Image
Improving interest rate risk hedging strategies through regularization
Mantilla-Garcia, Daniel; Martellini, Lionel; Milhau, Vincent - In: Financial analysts journal : FAJ 78 (2022) 4, pp. 18-36
Persistent link: https://www.econbiz.de/10013417613