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An investment horizon is in practice not frequently known with certainty at the initial investment date. This paper addresses the problem of pricing and hedging a random cash‡ow received at a random… (More)

- Noël Amenc, Lionel Martellini
- 2002

This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection.… (More)

- Fausto Acernese, Michalis Agathos, +152 authors Annalisa Moggi
- 2017

Advanced Virgo is the project to upgrade the Virgo interferometric detector of gravitational waves, with the aim of increasing the number of observable galaxies (and thus the detection rate) by three… (More)

- René Garcia, Daniel Mantilla-Garćıa, Lionel Martellini
- 2010

The recent financial literature has paid considerable attention to idiosyncratic volatility. Whether average idiosyncratic volatility is a good predictor of aggregate market returns and whether… (More)

- Lionel Martellini, Branko Urosevic
- Management Science
- 2006

Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized… (More)

Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, if full credit, including © notice, is given to the… (More)

We derive a closed-form solution for a non-myopic utility maximizer that has incomplete information about the “alphas” (abnormal returns relative to some benchmark such like CAPM) of the risky… (More)

Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be in‡uenced by the uncertainty of exit time? In order to answer that question, we… (More)

- A. Chiummo, T. Chmiel, +320 authors Thomas J Massinger
- 2017

On 2017 August 17, the gravitational-wave event GW170817 was observed by the Advanced LIGO and Virgo detectors, and the gamma-ray burst (GRB) GRB170817A was observed independently by the Fermi… (More)

- Noël Amenc, Lionel Martellini, Teilhard de Chardin
- 2003

That hedge funds start gaining wide acceptance while they still remain a somewhat mysterious asset class enhances the need for a better measurement of their performance. This paper is an attempt to… (More)