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Lionel Martellini · Study
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Author
Lionel Martellini
23 works
· latest 2017
· 2 institutions
cluster: provisional
ORCID 0000-0001-5721-8949
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23
Citations
1,663
Works here
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Most cited in this library
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection
2009 · 196 citations
Optimal investment decisions when time-horizon is uncertain
2008 · 130 citations
Portfolio Optimization and Hedge Fund Style Allocation Decisions
2002 · 107 citations
Predictability in Hedge Fund Returns (corrected)
2003 · 92 citations
Predictability in the Shape of the Term Structure of Interest Rates
2005 · 86 citations
Works
23 shown
Capital structure decisions and the optimal design of corporate market debt programs
Journal of Corporate Finance
·
2017
·
3 authors
21
citations
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
Journal of Financial and Quantitative Analysis
·
2014
·
3 authors
·
Open access
77
citations
Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks
The Journal of Portfolio Management
·
2014
·
4 authors
30
citations
Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance
The Journal of Portfolio Management
·
2012
·
4 authors
45
citations
Efficient Indexation: An Alternative to Cap-Weighted Indices
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
75
citations
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection
Review of Financial Studies
·
2009
·
1 author
196
citations
Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions
The Journal of Portfolio Management
·
2009
·
2 authors
60
citations
Passive Hedge Fund Replication – Beyond the Linear Case
European Financial Management
·
2009
·
3 authors
72
citations
Passive Hedge Fund Replication
The Journal of Alternative Investments
·
2008
·
4 authors
40
citations
Toward the Design of Better Equity Benchmarks
The Journal of Portfolio Management
·
2008
·
1 author
66
citations
Optimal investment decisions when time-horizon is uncertain
Journal of Mathematical Economics
·
2008
·
4 authors
130
citations
Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
The Journal of Portfolio Management
·
2007
·
1 author
60
citations
Static Mean-Variance Analysis with Uncertain Time Horizon
Management Science
·
2006
·
2 authors
63
citations
Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations
Review of Financial Studies
·
2006
·
4 authors
·
Open access
77
citations
Predictability in the Shape of the Term Structure of Interest Rates
The Journal of Fixed Income
·
2005
·
3 authors
86
citations
Dynamic asset pricing theory with uncertain time-horizon
Journal of Economic Dynamics and Control
·
2005
·
3 authors
58
citations
Predictability in Hedge Fund Returns
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
72
citations
Predictability in Hedge Fund Returns (corrected)
Financial Analysts Journal
·
2003
·
3 authors
92
citations
Benefits and risks of alternative investment strategies
Journal of Asset Management
·
2003
·
3 authors
·
Open access
66
citations
Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies
·
2003
·
3 authors
85
citations
Optimal allocation to hedge funds: an empirical analysis
Quantitative Finance
·
2003
·
4 authors
47
citations
Portfolio Optimization and Hedge Fund Style Allocation Decisions
The Journal of Alternative Investments
·
2002
·
2 authors
·
Open access
107
citations
Competing Methods for Option Hedging in the Presence of Transaction Costs
The Journal of Derivatives
·
2002
·
2 authors
38
citations