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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
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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
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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
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Predictability in the shape of the term structure of interest rates
Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53
Persistent link: https://www.econbiz.de/10003018774