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person:"Pesaran, M. Hashem"
~person:"Ermolʹev, Jurij M."
~person:"Lo, Andrew W."
~person:"Martellini, Lionel"
~subject:"Faktorenanalyse"
~subject:"Portfolio-Management"
~subject:"Theory"
~subject:"USA"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
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Pesaran, M. Hashem
Ermolʹev, Jurij M.
Lo, Andrew W.
Martellini, Lionel
Broll, Udo
21
Fabozzi, Frank J.
21
Wang, Ruodu
15
Embrechts, Paul
13
Hammoudeh, Shawkat
13
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10
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10
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9
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8
Bartram, Söhnke M.
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8
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Härdle, Wolfgang
8
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Bernard, Carole
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6
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6
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Advanced bond portfolio management : best practices in modeling and strategies
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Innovations in investment management : cutting edge research from the exclusive JOIM conference series
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Managing safety of heterogeneous systems : decisions under uncertainties and risks ; [contributions to this volume are based on selected presentations at the CwU 2009 workshop.]
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ECONIS (ZBW)
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1
Risk parity and beyond : from asset allocation to risk allocation decisions
Deguest, Romain
;
Martellini, Lionel
;
Meucci, Attilio
- In:
The journal of portfolio management : JPM
48
(
2022
)
4
,
pp. 108-135
Persistent link: https://www.econbiz.de/10013175525
Saved in:
2
Sharing R&D risk in healthcare via FDA hedges
Jørring, Adam
;
Lo, Andrew W.
;
Philipson, Tomas J.
; …
- In:
The review of corporate finance studies : RCFS
11
(
2022
)
4
,
pp. 880-922
Persistent link: https://www.econbiz.de/10013460218
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Factor investing and risk allocation : from traditional to alternative risk premia harvesting
Maeso, Jean-Michel
;
Martellini, Lionel
- In:
The journal of alternative investments
20
(
2017
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10011745094
Saved in:
6
Stop-loss strategies with serial correlation, regime switching, and transaction costs
Lo, Andrew W.
;
Remorov, Alexander
- In:
Journal of financial markets
34
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011815030
Saved in:
7
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
Saved in:
8
When do stop-loss rules stop losses?
Kaminski, Kathryn M.
;
Lo, Andrew W.
- In:
Journal of financial markets
18
(
2014
),
pp. 234-254
Persistent link: https://www.econbiz.de/10010442454
Saved in:
9
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
Saved in:
10
On a new approach for analyzing and managing macrofinancial risks
Merton, Robert C.
;
Billio, Monica
;
Getmansky, Mila
; …
- In:
Financial analysts' journal : FAJ
69
(
2013
)
2
,
pp. 22-33
Persistent link: https://www.econbiz.de/10009745669
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