Auteur(s) :
Lionel Martellini
,
Branko Urosevic
Such a lack of consistency can, potentially, distort empirical results. A related, yet mostly overlooked,...
2003
Auteur(s) :
Lionel Martellini
,
Branko Urosevic
Such a lack of consistency can, potentially, distort empirical results. A related, yet mostly overlooked,...
2003
Auteur(s) :
Lionel Martellini
,
Daphne Sfeir

2003
Auteur(s) :
Lionel Martellini
,
Daphne Sfeir

2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
This paper is an attempt to provide a unified picture of hedge fund managers' ability to generate...
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
This paper is an attempt to provide a unified picture of hedge fund managers' ability to generate...
2003
Auteur(s) :
Noel Amenc
,
Philippe Malaise
,
Lionel Martellini
,
Daphne Sfeir
In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at...
2003
Auteur(s) :
Noel Amenc
,
Philippe Malaise
,
Lionel Martellini
,
Daphne Sfeir
In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at...
2003
Auteur(s) :
Daniel Capocci
,
Georges Hubner
Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we...
2003
Auteur(s) :
Daniel Capocci
,
Georges Hubner
Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we...
2003
Auteur(s) :
Noel Amenc
,
Robert Faff
,
Lionel Martellini
Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide...
2003
Auteur(s) :
Noel Amenc
,
Robert Faff
,
Lionel Martellini
Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide...
2003
Auteur(s) :
Jaksa Cvitanic
,
Ali Lazrak
,
Lionel Martellini
,
Fernando Zapatero
The only available answers to the above question are set in a static mean-variance framework, with no...
2003
Auteur(s) :
Jaksa Cvitanic
,
Ali Lazrak
,
Lionel Martellini
,
Fernando Zapatero
The only available answers to the above question are set in a static mean-variance framework, with no...
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
Using data from CSFB-Tremont hedge fund indices, we find that ex-post volatility of minimum variance...
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
Using data from CSFB-Tremont hedge fund indices, we find that ex-post volatility of minimum variance...
2003
Auteur(s) :
Georges Hubner
The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation...
2003
Auteur(s) :
Georges Hubner
The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation...
2003

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