lionel martellini
lionel martellini
Professor of finance, EDHEC Business School
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Cited by
Cited by
Fixed-income securities: valuation, risk management and portfolio strategies
L Martellini, P Priaulet, S Priaulet
John Wiley & Sons, 2003
Improved estimates of higher-order comoments and implications for portfolio selection
L Martellini, V Ziemann
The Review of Financial Studies 23 (4), 1467-1502, 2010
Predictability in hedge fund returns (corrected)
N Amenc, S El Bied, L Martellini
Financial Analysts Journal 59 (5), 32-46, 2003
Portfolio optimization and hedge fund style allocation decisions
N Amenc, L Martellini
Available at SSRN 305006, 2002
Optimal investment decisions when time-horizon is uncertain
C Blanchet-Scalliet, N El Karoui, M Jeanblanc, L Martellini
Journal of Mathematical Economics 44 (11), 1100-1113, 2008
Efficient indexation: An alternative to cap-weighted indices
N Amenc, F Goltz, L Martellini, P Retkowsky
Journal of Investment Management 9 (4), 52, 2011
Predictability in the shape of the term structure of interest rates
FJ Fabozzi, L Martellini, P Priaulet
The Journal of Fixed Income 15 (1), 40, 2005
Dynamic portfolio choice with parameter uncertainty and the economic value of analysts’ recommendations
J Cvitanić, A Lazrak, L Martellini, F Zapatero
The Review of Financial Studies 19 (4), 1113-1156, 2006
Toward the design of better equity benchmarks: Rehabilitating the tangency portfolio from modern portfolio theory
L Martellini
Journal of Portfolio Management 34 (4), 34, 2008
Extending Black-Litterman analysis beyond the mean-variance framework
L Martellini, V Ziemann
Journal of Portfolio Management 33 (4), 33, 2007
The alpha and omega of hedge fund performance measurement
N Amenc, S Curtis, L Martellini
Edhec Risk and Research Asset Management Centre, 2003
Passive hedge fund replication–Beyond the linear case
N Amenc, L Martellini, JC Meyfredi, V Ziemann
European Financial Management 16 (2), 191-210, 2010
Benefits and risks of alternative investment strategies
N Amenc, L Martellini, M Vaissié
Journal of Asset Management 4, 96-118, 2003
The brave new world of hedge fund indexes
N Amenc, L Martellini
EDHEC/MISYS multi-style/multi-class program and CIBEAR Program, 2002
Static mean-variance analysis with uncertain time horizon
L Martellini, B Urošević
Management Science 52 (6), 955-964, 2006
A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
R Garcia, D Mantilla-Garcia, L Martellini
Journal of Financial and Quantitative Analysis 49 (5-6), 1133-1165, 2014
Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance
N Amenc, F Goltz, A Lodh, L Martellini
The Journal of Portfolio Management 38 (3), 72-88, 2012
Dynamic asset pricing theory with uncertain time-horizon
C Blanchet-Scalliet, N El Karoui, L Martellini
Journal of Economic Dynamics and Control 29 (10), 1737-1764, 2005
Revisiting core-satellite investing
N Amenc, P Malaise, L Martellini
The Journal of Portfolio Management 31 (1), 64-75, 2004
Inflation-hedging properties of real assets and implications for asset-liability management decisions
N Amenc, L Martellini, V Ziemann
The Journal of Portfolio Management 35 (4), 94-110, 2009
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