printer-friendly version

Securing Replacement Income with Goal-Based Retirement Investing Strategies

Author(s) :
Lionel Martellini, Vincent Milhau, John Mulvey
To supplement retirement benefits received from public and private pension systems, individuals need to make voluntary contributions and decide how...

Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective

Author(s) :
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management, Multi-Asset Special Issue, Vol. 46, Issue 6, June 2020   

Harvesting Macroeconomic Risk Premia

Author(s) :
Kyriakos Chousakos and Daniel Giamouridis
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020  

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Author(s) :
Riccardo Rebonato, Ivan Saroka, Vlad Putiatyn
International Journal of Theoretical and Applied Finance, Vol. 24 N° 7 pp. 1 - 36, March 2020  

Measuring Portfolio Rebalancing Benefits in Equity Markets

Author(s) :
Jean-Michel Maeso, Lionel Martellini
The Journal of Portfolio Management, Vol. 46, Issue 4, March 2020  

Value by Design?

Author(s) :
Stephan Kessler, Bernd Scherer and Jan Philipp Harries
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Author(s) :
Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato
The Journal of Portfolio Management, Vol. 46, Issue 2, Quantitative Special Issue 2020    

Rich Pickings? Risk, Return, and Skill in Household Wealth

Author(s) :
Laurent Calvet
American Economic Review, December 2019  

What Does Today’s Smile Imply About Future Volatilities?

Author(s) :
Riccardo Rebonato
The Journal of Derivatives, Vol. 27, Issue 2, Winter 2019    

Defining and Exploiting Value in US Treasury Bonds

Author(s) :
Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato
The Journal of Fixed Income, Vol. 29, Issue 2, Fall 2019    

Adaptive Portfolios and the Power of Diversification

Author(s) :
Jürgen Vandenbroucke
The Journal of Investing, Vol. 28, Issue 5, August 2019

"Flexicure" Retirement Solutions: A Part of the Answer to the Pensions Crisis?"

Author(s) :
Lionel Martellini, Vincent Milhau, John Mulvey
The Journal of Portfolio Management, Volume 45, Number 5, July 2019   

Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees

Author(s) :
Georges Hübner, Marie Lambert
The Journal of Portfolio Management, Vol. 45, Issue 4, April 2019    

Future-Proof Your Climate Strategy

Author(s) :
Joseph E. Aldy, Gianfranco Gianfrate

Quanto Option Pricing with Lévy Models

Author(s) :
Hasan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi, Jiho Park
Computational Economics, March 2019, Volume 53, Issue 3, pp 1279–1308

A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

Author(s) :
John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li
The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Author(s) :
Nick Baltas, Bernd Scherer
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104 In this article, the authors attempt to get...

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Author(s) :
Harjoat Bhamra, Raman Uppal
American Economic Review

The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence

Author(s) :
Emory E. Ruscus, Frank J. Fabozzi, Glenn Schultz
The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67  

Quantile-Based Inference for Tempered Stable Distributions

Author(s) :
Hasan A. Fallahgoul, David Veredas, Frank J. Fabozzi
Computational Economics, January 2019, Volume 53, Issue 1, pp 51–83  

Pages