Lionel Martellini

EDHEC Business School

Professor of Finance

58 rue du Port

Lille, 59046

France

  • EDHEC Business School

SCHOLARLY PAPERS

16

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8,634

SSRN CITATIONS
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SSRN RANKINGS

Top 19,407

in Total Papers Citations

9

CROSSREF CITATIONS

44

Scholarly Papers (16)

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1.

Portfolio Optimization and Hedge Fund Style Allocation Decisions

Number of pages: 24 Posted: 26 Mar 2002
Noel Amenc and Lionel Martellini
EDHEC Business School and EDHEC Business School
Downloads 3,244 (5,172)
Citation 15

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2.

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

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 1,777 (13,671)
Citation 10

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3.

Dynamic Asset Pricing Theory with Uncertain Time-Horizon

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 1,070 (29,186)
Citation 1

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4.

A Theoretical Inspection of the Market Price for Default Risk

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 840 (41,074)
Citation 4

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5.

Efficient Option Replication in the Presence of Transaction Costs

Number of pages: 31 Posted: 28 Nov 2000
Lionel Martellini
EDHEC Business School
Downloads 531 (74,476)
Citation 2

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6.

On the Valuation and Incentive Effects of Executive Cash Bonus Contracts

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 477 (84,850)
Citation 1

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7.

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, Universidad de Los Andes - School of Management and EDHEC Business School
Downloads 435 (94,553)
Citation 4

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Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns

8.

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
Downloads 234 (182,680)

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Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns

9.

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 (718,183)

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10.

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 8 (810,113)

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11.

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

Posted: 18 Nov 2013
Romain Deguest, Lionel Martellini and Attilio Meucci
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management

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portfolio choice, risk parity, diversification, concentration, principal component analysis

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

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Equity benchmarks, non-cap weighted equity indices, efficient equity indices

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

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Portfolio insurance, stochastic optimization, dynamic asset allocation

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:

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15.

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

Downloads 0 (908,313)

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

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capital structure, debt management, stochastic interest rates

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

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debt management, capital structure, debt structure

16.

Predictability in Hedge Fund Returns

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

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Alternative investments, hedge fund strategies, portfolio management, asset allocation

Other Papers (1)

Total Downloads: 5
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1.

Idiosyncratic Risk and the Cross-Section of Realized Returns

Number of pages: 36 Posted: 22 Mar 2009
René Garcia, Lionel Martellini and Daniel Mantilla-Garcia
Université de Montréal, EDHEC Business School and Universidad de Los Andes - School of Management
Downloads 5

Abstract:

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idiosyncratic risk, asset pricing, returns predictability, risk measurement