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Efficient option replication in the presence of transactions costs

Martellini, Lionel - In: Review of derivatives research 4 (2000) 2, pp. 107-131

Persistent link: https://www.econbiz.de/10001566793

Fixed-income securities : dynamic methods for interest rate risk pricing and hedging

Martellini, Lionel; Priaulet, Philippe - 2001

Persistent link: https://www.econbiz.de/10001484122

Dynamic asset pricing theory with uncertain time-horizon

Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of economic dynamics & control 29 (2005) 10, pp. 1737-1764

Persistent link: https://www.econbiz.de/10003128383

Hedging interest-rate risk with term-structure factor models

Martellini, Lionel; Priaulet, Philippe; Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 967-985). 2005

Persistent link: https://www.econbiz.de/10003055173

Idiosyncratic Risk and the Cross-Section of Realized Returns : Reconciling the Aggregate Returns’ Predictability Evidence

Mantilla-Garcia, Daniel - 2010

Whether idiosyncratic volatility has increased over time and whether it is a good predictor of future returns is a matter of active debate. We show formally through central limit arguments that there is a direct relationship between the dynamics of the cross-sectional variance of realized...

Persistent link: https://www.econbiz.de/10013146647

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

Risk allocation : a new investment paradigm?

Amenc, Noël; Martellini, Lionel - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 1-4

Persistent link: https://www.econbiz.de/10010366288

Inflation-hedging properties of real assets and implications for asset-liability management decisions

Amenc, Noël; Martellini, Lionel; Ziemann, Volker - In: The journal of portfolio management : a publication of … 35 (2008/09) 4, pp. 94-110

Persistent link: https://www.econbiz.de/10009520448

Efficient indexation : an alternative to cap-weighted indices

Amenc, Noël; Goltz, Felix; Martellini, Lionel; … - In: Journal of investment management : JOIM 9 (2011) 4, pp. 52-74

Persistent link: https://www.econbiz.de/10009532392

Towards smart equity factor indices : harvesting risk premia without taking unrewarded risks

Amenc, Noël; Goltz, Felix; Lodh, Ashish; Martellini, Lionel - In: The journal of portfolio management : a publication of … 40 (2014) 4, pp. 106-122

Persistent link: https://www.econbiz.de/10010487078