Details about Lionel Martellini

Access statistics for papers by Lionel Martellini.

Last updated 2011-02-17. Update your information in the RePEc Author Service.

Short-id: pma1146

Working Papers

2003

1. On the valuation and incentive effects of executive cash bonus contracts
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (1)

Journal Articles

2010

1. Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection
   The Review of Financial Studies, 2010, 23, (4), 1467-1502 View citations (79)

2009

2. Risk and Asset Management: Introduction
   European Financial Management, 2009, 15, (2), 239-240

2008

3. Optimal investment decisions when time-horizon is uncertain
   Journal of Mathematical Economics, 2008, 44, (11), 1100-1113 View citations (45)

2007

4. Hedge Fund Indices: Reconciling Investability and Representativity
   European Financial Management, 2007, 13, (2), 257-286 View citations (3)

2006

5. Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations
   The Review of Financial Studies, 2006, 19, (4), 1113-1156 View citations (38)

2005

6. Dynamic asset pricing theory with uncertain time-horizon
   Journal of Economic Dynamics and Control, 2005, 29, (10), 1737-1764 View citations (26)

2001

7. It’s time for asset allocation
   Journal of Financial Transformation, 2001, 3, 77-88 View citations (1)

2000

8. Efficient Option Replication in the Presence of Transactions Costs
   Review of Derivatives Research, 2000, 4, (2), 107-131 View citations (2)