Author Page for Lionel Martellini

1.

Portfolio Optimization and Hedge Fund Style Allocation Decisions

USC FBE Working Paper No. 02-4

Number of pages: 24 Posted: 26 Mar 2002

Noel Amenc and Lionel Martellini

EDHEC Business School and EDHEC Business School

Downloads 3,183 (3,472)

Citation 15

Abstract:

2.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013

Romain Deguest, Lionel Martellini and Attilio Meucci

Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management

Downloads 1,845 (8,723)

Citation 13

Abstract:

3.

Evidence of Predictability in Hedge Fund Returns and Multi-Style Multi-Class Tactical Style Allocation Decisions

USC FBE Working Paper No. 02-5

Number of pages: 33 Posted: 26 Mar 2002

Noel Amenc, Sina El Bied and Lionel Martellini

EDHEC Business School, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and EDHEC Business School

Downloads 1,739 (9,584)

Citation 10

Abstract:

4.

Dynamic Asset Pricing Theory with Uncertain Time-Horizon

USC FBE Working Paper No. 02-6

Number of pages: 35 Posted: 26 Mar 2002

Nicole El Karoui and Lionel Martellini

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and EDHEC Business School

Downloads 1,053 (20,880)

Citation 1

Abstract:

5.

A Theoretical Inspection of the Market Price for Default Risk

USC Finance & Business Econ. Working Paper No. 01-9

Number of pages: 27 Posted: 16 Feb 2001

Lionel Martellini and Nicole El Karoui

EDHEC Business School and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Downloads 827 (29,671)

Citation 2

Abstract:

6.

Efficient Option Replication in the Presence of Transaction Costs

Review of Derivatives Research

Number of pages: 31 Posted: 28 Nov 2000

Lionel Martellini

EDHEC Business School

Downloads 512 (56,085)

Citation 2

Abstract:

7.

On the Valuation and Incentive Effects of Executive Cash Bonus Contracts

USC Finance & Business Econ. Working Paper No. 01-11

Number of pages: 29 Posted: 08 Feb 2001

Lionel Martellini and Branko Urosevic

EDHEC Business School and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Downloads 471 (62,240)

Citation 1

Abstract:

8.

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

CIRANO - Scientific Publication No. 2013s-01

Number of pages: 58 Posted: 19 Jan 2013

René Garcia, Daniel Mantilla-Garcia and Lionel Martellini

Université de Montréal - CIREQ - Département de sciences économiques, Universidad de Los Andes - School of Management and EDHEC Business School

Downloads 410 (73,712)

Citation 3

Abstract:

9.

Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence

Number of pages: 67 Posted: 17 Mar 2010

Daniel Mantilla-Garcia, Lionel Martellini and René Garcia

Universidad de Los Andes - School of Management, EDHEC Business School and Université de Montréal - CIREQ - Département de sciences économiques

Downloads 220 (144,277)

Abstract:

10.

Hedge Fund Indices: Reconciling Investability and Representativity

European Financial Management, Vol. 13, No. 2, pp. 257-286, March 2007

Number of pages: 30 Posted: 04 Mar 2007

Felix Goltz, Lionel Martellini and Mathieu Vaissié

EDHEC Business School, EDHEC Business School and EDHEC Graduate School of Management - Risk and Asset Management Research Center

Downloads 18 (553,725)

Add to Cart

Abstract:

11.

Passive Hedge Fund Replication – Beyond the Linear Case

European Financial Management, Vol. 16, Issue 2, pp. 191-210, March 2010

Number of pages: 20 Posted: 01 Mar 2010

Noël Amenc, Lionel Martellini, Jean-christophe Meyfredi and Volker Ziemann

affiliation not provided to SSRN, EDHEC Business School, affiliation not provided to SSRN and EDHEC Business School

Downloads 6 (631,574)

Citation 1

Add to Cart

Abstract:

12.

Efficient Indexation: An Alternative to Cap-Weighted Indices

Journal Of Investment Management (JOIM), Fourth Quarter 2011

Posted: 25 May 2012

Noel Amenc, Felix Goltz, Lionel Martellini and Patrice Retkowsky

EDHEC Business School, EDHEC Business School, EDHEC Business School and EDHEC Business School

Abstract:

13.

Optimal Static Allocation Decisions in the Presence of Portfolio Insurance

Journal of Investment Management, Vol. 6 No. 2, Second Quarter 2008

Posted: 12 May 2008

Felix Goltz, Lionel Martellini and Koray D. Simsek

EDHEC Business School, EDHEC Business School and Rollins College - Crummer Graduate School of Business

Abstract:

14.

Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1113-1156, 2006

Posted: 29 Feb 2008

Jak[scaron]a Cvitani[cacute], Fernando Zapatero, Ali Lazrak and Lionel Martellini

affiliation not provided to SSRN, Questrom School of Business, Boston University, University of British Columbia Sauder School of Business and EDHEC Business School

Abstract:

15.

Capital Structure Choices and the Optimal Design of Corporate Market Debt Programs

Downloads 0 (691,978)

2

Capital Structure Choices and the Optimal Design of Corporate Market Debt Programs

Second Singapore International Conference on Finance 2008

Posted: 13 Jan 2008

Vincent Milhau and Lionel Martellini

EDHEC Business School and EDHEC Business School

Abstract:

Capital Structure Choices and the Optimal Design of Corporate Market Debt Programs

Posted: 19 Feb 2009

Lionel Martellini and Vincent Milhau

EDHEC Business School and affiliation not provided to SSRN

Abstract:

16.

Predictability in Hedge Fund Returns

Financial Analysts Journal, Vol. 59, No. 5, pp. 32-46, September/October 2003

Posted: 26 Jan 2004

Noel Amenc, Sina El Bied and Lionel Martellini

EDHEC Business School, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and EDHEC Business School

Lionel Martellini

EDHEC Business School

Professor of Finance

16

Top 3,910

10,284

Top 15,086

11

49

Scholarly Papers (16)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Hedge Fund Indices: Reconciling Investability and Representativity

Abstract:

Passive Hedge Fund Replication – Beyond the Linear Case

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: