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Search: "Martellini, Lionel"
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Martellini, Lionel
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Amenc, Noël
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Mantilla-Garcia, Daniel
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2
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1
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ECONIS (ZBW)
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1
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:
2
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
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
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:
5
Mass customization versus mass production : how an industrial revolution is about to take place in money management and why it involves a shift from investment products to investme...
Martellini, Lionel
- In:
Journal of investment management : JOIM
14
(
2016
)
3
,
pp. 5-13
Persistent link: https://www.econbiz.de/10011691059
Saved in:
6
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:
7
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:
8
Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters
Hitaj, Asmerilda
;
Martellini, Lionel
;
Zambruno, Giovanni
- In:
The journal of alternative investments
14
(
2011/12
)
3
,
pp. 6-16
Persistent link: https://www.econbiz.de/10009501188
Saved in:
9
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:
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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