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A copula approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
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Hedge fund indices : reconciling investability and representativity
Goltz, Felix; Martellini, Lionel; Vaissié, Mathieu - In: European financial management : the journal of the … 13 (2007) 2, pp. 257-286
Persistent link: https://www.econbiz.de/10003550410
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Dynamic portfolio choice with parameter uncertainty and the economic value of analysts' recommendations
Cvitanić, Jakša; Lazrak, Ali; Martellini, Lionel; … - In: The review of financial studies 19 (2006) 4, pp. 1113-1156
Persistent link: https://www.econbiz.de/10003391743
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Hedging interest rate risk with term structure factor models
Martellini, Lionel (contributor) - In: Advanced bond portfolio management : best practices in …, (pp. 267-289). 2006
Persistent link: https://www.econbiz.de/10003280223
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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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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
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A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165
Persistent link: https://www.econbiz.de/10011338944
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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
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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
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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