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~person:"Amenc, Noël"
~person:"Mantilla-Garcia, Daniel"
~subject:"Hedgefonds"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
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Amenc, Noël
Mantilla-Garcia, Daniel
Martellini, Lionel
45
Milhau, Vincent
10
Deguest, Romain
5
Fabozzi, Frank J.
4
Priaulet, Philippe
4
Ziemann, Volker
4
Garcia, René
3
Goltz, Felix
3
Maeso, Jean-Michel
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Meucci, Attilio
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Meyfredi, Jean-Christophe
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Hitaj, Asmerilda
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Lazrak, Ali
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The journal of portfolio management : a publication of Institutional Investor
6
CIRANO - Scientific Publication
1
European financial management : the journal of the European Financial Management Association
1
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1
Handbuch Alternative Investments ; Bd. 2
1
Hedge funds : insights in performance measurement, risk analysis, and portfolio allocation
1
Intelligent hedge fund investing
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ECONIS (ZBW)
17
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1
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
Saved in:
2
Back to the funding ratio! : addressing the duration puzzle and retirement income risk of defined contribution pension plans
Mantilla-Garcia, Daniel
;
Martellini, Lionel
; …
- In:
Journal of banking and finance
159
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014452072
Saved in:
3
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
Garcia, René
-
2013
In this paper, we formally show that the cross-sectional variance of stock returns is a consistent and asymptotically efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: it is model-free and observable at any frequency. Previous approaches have used...
Persistent link: https://www.econbiz.de/10013088362
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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:
7
Forget about alpha!
Amenc, Noël
;
Martellini, Lionel
- In:
The journal of portfolio management : a publication of …
38
(
2012
)
4
,
pp. 4-5
Persistent link: https://www.econbiz.de/10009669600
Saved in:
8
Diversifying the diversifiers and tracking the tracking error : outperforming cap-weighted indices with limited risk of underperformance
Amenc, Noël
;
Goltz, Felix
;
Lodh, Ashish
;
Martellini, Lionel
- In:
The journal of portfolio management : a publication of …
38
(
2012
)
3
,
pp. 72-88
Persistent link: https://www.econbiz.de/10009669654
Saved in:
9
In diversification we trust?
Amenc, Noël
;
Martellini, Lionel
- In:
The journal of portfolio management : a publication of …
37
(
2010/11
)
2
,
pp. 1-2
Persistent link: https://www.econbiz.de/10009520335
Saved in:
10
Passive hedge fund replication : beyond the linear case
Amenc, Noël
;
Martellini, Lionel
;
Meyfredi, Jean-Christophe
- In:
European financial management : the journal of the …
16
(
2010
)
2
,
pp. 191-210
Persistent link: https://www.econbiz.de/10003960934
Saved in:
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