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Lioui, Abraham - 2020

Anomaly-based investment/pricing factors are typically built from portfolios double-sorted on size and one additional characteristic, applying simple long/short fixed-weights schemes. Characteristic-based portfolios show significant time variations of their abnormal returns and market exposures....

Persistent link: https://www.econbiz.de/10012842333

Factor investing for the long run

Lioui, Abraham; Tarelli, Andrea - In: Journal of economic dynamics & control 117 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012503351

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

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

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