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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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Passive hedge fund replication : a critical assessment of existing techniques
Amenc, Noël; Géhin, Walter; Martellini, Lionel; … - In: The journal of alternative investments 11 (2008/09) 2, pp. 69-83
Persistent link: https://www.econbiz.de/10003778590
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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
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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
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HEDGE FUNDS - 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) 3, pp. 6-17
Persistent link: https://www.econbiz.de/10009824355
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HEDGE FUNDS - 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 (2012) 3, pp. 6-17
Persistent link: https://www.econbiz.de/10009825635