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

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Citation 25

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2.

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

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Citation 10

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3.

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

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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

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Citation 1

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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

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Citation 7

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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

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Citation 1

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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

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Citation 1

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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

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Citation 2

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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

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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

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Citation 2

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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

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Citation 7

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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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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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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, University of Southern California - Marshall School of Business, University of British Columbia Sauder School of Business and EDHEC Business School

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15.

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

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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

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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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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

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Scholarly Papers (16)

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Hedge Fund Indices: Reconciling Investability and Representativity

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Passive Hedge Fund Replication – Beyond the Linear Case

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