This textbook will be designed for fixed-income securities courses taught on MSc Finance
and MBA courses. There is currently no suitable text that offers a'Hull-type'book for the fixed …

In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques
require estimates for variance-covariance parameters, along with estimates for higher-…

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 …

We derive a closed-form solution for the optimal portfolio of a nonmyopic utility maximizer
who has incomplete information about the alphas or abnormal returns of risky securities. We …

Many investors do not know with certainty when their portfolio will be liquidated. Should
their portfolio selection be influenced by the uncertainty of exit time? In order to answer this …

Individuals preparing for retirement are currently left with an unsatisfactory choice between
security with no flexibility with annuity products and flexibility without security with investment …

… In particular, Amenc and Martellini (2002) recently documented the outof-sample performance
of … Lionel Martellini is an assistant professor in finance at the Marshall School of Business, …

This paper introduces a novel method for the construction of equity indices that, unlike their
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …

PHILIPPE PRIAULET is a derivatives strategist at HSBC-CCF in Paris and associate professor
of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe. priaulet@ …

Following recent research on the relevance of idiosyncratic risk in asset pricing models, the
author proposes using total volatility as a model-free estimate of a stock's excess expected …