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Hedging inflation-linked liabilities without inflation-linked instruments through long/short investments in nominal bonds

Martellini, Lionel; Milhau, Vincent; Tarelli, Andrea - In: The journal of fixed income 24 (2015) 3, pp. 5-29

Persistent link: https://www.econbiz.de/10011292829

Capital structure decisions and the optimal design of corporate market debt prograams

Martellini, Lionel; Milhau, Vincent; Tarelli, Andrea - In: The journal of corporate finance : contracting, … 49 (2018), pp. 141-167

Persistent link: https://www.econbiz.de/10011825002

Dynamic allocation decisions in the presence of funding ratio constraints

Martellini, Lionel; Milhau, Vincent - In: Journal of pension economics and finance 11 (2012) 4, pp. 549-580

Persistent link: https://www.econbiz.de/10009712057

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

Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams

Martellini, Lionel; Milhau, Vincent - In: Journal of pension economics and finance : JPEF 21 (2022) 3, pp. 425-445

Persistent link: https://www.econbiz.de/10013269963

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

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

No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments

Tarelli, Andrea - In: Investment management and financial innovations 17 (2020) 1, pp. 197-212

Persistent link: https://www.econbiz.de/10012300743

Factor Investing for the Long Run

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

Bail-in vs bail-out : Bank resolution and liability structure

Leanza, Luca; Sbuelz, Alessandro; Tarelli, Andrea - In: International review of financial analysis 73 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012803610