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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

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

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

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

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

Capital structure decisions and the optimal design of corporate market debt prograams

Martellini, Lionel; Milhau, Vincent; Tarelli, Andrea - In: The journal of corporate finance : contracting, … 49 (2018), pp. 141-167

Persistent link: https://www.econbiz.de/10011825002

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

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

Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams

Martellini, Lionel; Milhau, Vincent - In: Journal of pension economics and finance : JPEF 21 (2022) 3, pp. 425-445

Persistent link: https://www.econbiz.de/10013269963

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Meucci, Attilio - 2015

We measure the contributions to risk of a set of factors, strategies, or investments, based on "Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. We then introduce a novel definition of contributions to risk, which...

Persistent link: https://www.econbiz.de/10013035509