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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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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
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Macroeconomic environment, money demand and portfolio choice
Lioui, Abraham; Tarelli, Andrea - In: European journal of operational research : EJOR 274 (2019) 1, pp. 357-374
Persistent link: https://www.econbiz.de/10011990075
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Structural recovery of face value at default
Guha, Rajiv; Sbuelz, Alessandro; Tarelli, Andrea - In: European journal of operational research : EJOR 283 (2020) 3, pp. 1148-1171
Persistent link: https://www.econbiz.de/10012171774
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Money illusion and TIPS demand
Lioui, Abraham; Tarelli, Andrea - In: Journal of money, credit and banking : JMCB 55 (2023) 1, pp. 171-214
Persistent link: https://www.econbiz.de/10014305960
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Predictability in the shape of the term structure of interest rates
Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53
Persistent link: https://www.econbiz.de/10003018774
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Hedging interest-rate risk with term-structure factor models
Martellini, Lionel; Priaulet, Philippe; Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 967-985). 2005
Persistent link: https://www.econbiz.de/10003055173