MARTELLINI Lionel
Topics of productions
- Non-Gaussian
- Stochastic background
- General relativity
- Kalman filter
- Bayesian analysis
- Business And Economics−Investments
- GARCH model
- Gravitational waves theory
- Business And Economics
- Stochastic volatility
- Stock market
- Gravitational waves
- Stochastic control
- Gravitational wave detectors and experiments
- Behavioral finance
- Portfolio optimization
- State-space model
- ...
Affiliations
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2016 - 2017Sciences fondamentales et appliquees
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2016 - 2017Astrophysique Relativiste, Théories, Expériences, Métrologie, Instrumentation, Signaux
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2016 - 2017Galilee-oca
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2016 - 2017Université Nice-Sophia-Antipolis
- 2020Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective.Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
- 2019Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management.“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?Defining and Exploiting Value in US Treasury Bonds.
- 2018Capital structure decisions and the optimal design of corporate market debt programs.Bond Portfolio Optimization in the Presence of Duration Constraints.A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems.
- 2017Stochastic gravitational wave background : detection methods in non-Gaussian regimes.Proverbial Baskets are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions.Equity Portfolios with Improved Liability-Hedging Benefits.All-sky search for periodic gravitational waves in the O1 LIGO data.The stochastic gravitational background: detection methods in non-Gaussian regimes.Equity Portfolios with Improved Liability-Hedging Benefits.Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions.GW170104: Observation of a 50-Solar-Mass Binary Black Hole Coalescence at Redshift 0.2.Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting.GW170817: Observation of Gravitational Waves from a Binary Neutron Star Inspiral.Equity Portfolios with Improved Liability-Hedging Benefits.
- 2015Toward Conditional Risk Parity:Improving Risk Budgeting Techniques in Changing Economic Environments.Efficiency of the cross-correlation statistic for gravitational wave stochastic background signals with non-Gaussian noise and heterogeneous detector sensitivities.
- 2014Semiparametric approach to the detection of non-Gaussian gravitational wave stochastic backgrounds.Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds.Semiparametric approach to the detection of non-Gaussian gravitational wave stochastic backgrounds.A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns.Invited editorial comment.
Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective.
Lionel MARTELLINI, Vincent MILHAUThe Journal of Portfolio Management | 2020No summary available.Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
Jean michel MAESO, Lionel MARTELLINIQuantitative Finance | 2020No summary available.Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management.
Jean michel MAESO, Lionel MARTELLINI, Riccardo REBONATOThe Journal of Portfolio Management | 2019No summary available.“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?
Lionel MARTELLINI, Vincent MILHAU, John MULVEYThe Journal of Portfolio Management | 2019No summary available.Defining and Exploiting Value in US Treasury Bonds.
Riccardo REBONATO, Jean michel MAESO, Lionel MARTELLINIThe Journal of Fixed Income | 2019No summary available.Capital structure decisions and the optimal design of corporate market debt programs.
Lionel MARTELLINI, Vincent MILHAU, Andrea TARELLIJournal of Corporate Finance | 2018This paper provides a joint quantitative analysis of capital structure decisions (debt versus equity) and debt structure decisions (fixed-rate debt versus floating-rate debt or inflation-linked debt) in a continuous-time setting. We show that optimizing the debt structure has an impact on capital structure decisions, and leads to increases in leverage ratios compared to a pure fixed-rate debt program. We also find that for realistic parameter values, jointly optimizing the debt and capital structures generates a significant increase in firm value with respect to a situation where only the capital structure is optimized.Bond Portfolio Optimization in the Presence of Duration Constraints.
Romain DEGUEST, Frank FABOZZI, Lionel MARTELLINI, Vincent MILHAUThe Journal of Fixed Income | 2018No summary available.A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems.
Romain DEGUEST, Lionel MARTELLINI, Vincent MILHAUManagement Science | 2018No summary available.Stochastic gravitational wave background : detection methods in non-Gaussian regimes.
Lionel MARTELLINI2017The new generation of interferometers should allow us to detect stochastic gravitational wave backgrounds that are expected to arise from a large number of random, independent, unresolved events of astrophysical or cosmological origin. Most detection methods for gravitational waves are based upon the assumption of Gaussian gravitational wave stochastic background signals and noise processes. Our main objective is to improve the methods that can be used to detect gravitational backgrounds in the presence of non-Gaussian distributions. We first maintain the assumption of Gaussian noise distributions so as to better focus on the impact of deviations from normality of the signal distribution in the context of the standard cross-correlation detection statistic. Using a 4th-order Edgeworth expansion of the unknown density for the signal and noise distributions, we first derive an explicit expression for the non-Gaussian likelihood ratio statistic, which is obtained as a function of the variance, but also skewness and kurtosis of the unknown signal and noise distributions. We use numerical procedures to generate maximum likelihood estimates for the gravitational wave distribution parameters for a set of symmetric heavy-tailed distributions, and we find that the fourth cumulant can be estimated with reasonable precision when the ratio between the signal and the noise variances is larger than 1%, which should be useful for analyzing the constraints on astrophysical and cosmological models. In a second step, we analyze the efficiency of the standard cross-correlation statistic in situations that also involve non-Gaussian noise distributions.Proverbial Baskets are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions.
Lionel MARTELLINI, Vincent MILHAUThe Journal of Portfolio Management | 2017No summary available.Equity Portfolios with Improved Liability-Hedging Benefits.
Guillaume COQUERET, Lionel MARTELLINI, Vincent MILHAUJournal of Portfolio Management | 2017This article analyzes whether it is desirable and feasible for an investor endowed with liabilities to hold an equity portfolio with better liability-hedging properties than a broad cap-weighted index. From a theoretical standpoint, the authors show that liability-driven investors will generally benefit from reducing the tracking error of their performance portfolios with respect to liabilities, unless this comes at an exceedingly large loss of performance. The authors then empirically document the heterogeneity of interest-rate-hedging properties across the constituents of the S&P 500 universe, and they show that substantial welfare gains can be achieved by selecting low-volatility and high-dividend-yield stocks. These benefits are further enhanced if a minimum-variance weighting scheme is applied to the selected stocks.All-sky search for periodic gravitational waves in the O1 LIGO data.
T. ADAMS, A. AMATO, S. ANTIER, N. ARNAUD, P. BACON, M. BARSUGLIA, I. BELAHCENE, Marieanne BIZOUARD, M. BOER, G. BOGAERT, F. BONDU, R. BONNAND, Y. BOUFFANAIS, T. BRIANT, A. BRILLET, V. BRISSON, D. BUSKULIC, C. BUY, G. CAGNOLI, E. CAPOCASA, J. CASANUEVA DIAZ, F. CAVALIER, E. CHASSANDE MOTTIN, N. CHRISTENSEN, S. CHUA, F. CLEVA, P. f. COHADON, J. p. COULON, M. DAVIER, J. DEGALLAIX, S. DELEGLISE, V. DOLIQUE, M. DUCROT, D. FIORUCCI, R. FLAMINIO, J. d. FOURNIER, V. FREY, V. GERMAIN, R. GOUATY, M. GRANATA, P. GRUNING, A. HEIDMANN, H. HEITMANN, P. HELLO, D. HOFMAN, D. HUET, J. m. ISAC, T. JACQMIN, F. KEFELIAN, A. LARTAUX VOLLARD, N. LEROY, N. LETENDRE, V. LORIETTE, I. MAKSIMOVIC, N. MAN, F. MARION, L. MARTELLINI, A. MASSEROT, M. MERZOUGUI, R. METZDORFF, C. MICHEL, O. MINAZZOLI, B. MOURS, R. PEDURAND, M. PICHOT, L. PINARD, Ed PORTER, T. REGIMBAU, F. ROBINET, L. ROLLAND, B. SASSOLAS, M. TACCA, D. VERKINDT, J. y. VINET, M. WAS, M. YVERT, Benjamin ABBOTT, R. ABBOTT, Thomas ABBOTT, F. ACERNESE, K. ACKLEY, C. ADAMS, P. ADDESSO, Rana ADHIKARI, Vaishali ADYA, C. AFFELDT, M. AFROUGH, B. AGARWAL, K. AGATSUMA, N. AGGARWAL, Odylio AGUIAR, L. AIELLO, A. AIN, P. AJITH, B. ALLEN, G. ALLEN, A. ALLOCCA, Paul ALTIN, A. ANANYEVA, Stuart ANDERSON, Warren ANDERSON, S. APPERT, K. ARAI, Melody ARAYA, Joseph AREEDA, S. ASCENZI, G. ASHTON, M. AST, Stuart ASTON, P. ASTONE, P. AUFMUTH, C. AULBERT, K. AULTONEAL, A. AVILA ALVAREZ, S. BABAK, Maria BADER, S. BAE, Paul BAKER, F. BALDACCINI, G. BALLARDIN, Stefan BALLMER, S. BANAGIRI, Juan BARAYOGA, Sheena BARCLAY, Barry BARISH, D. BARKER, F. BARONE, B. BARR, L. BARSOTTI, D. BARTA, J. BARTLETT, I. BARTOS, R. BASSIRI, A. BASTI, James BATCH, C. BAUNE, M. BAWAJ, M. BAZZAN, B. BECSY, C. BEER, M. BEJGER, Angus BELL, Beverly BERGER, G. BERGMANN, Christopher BERRY, D. BERSANETTI, A. BERTOLINI, J. BETZWIESER, S. BHAGWAT, R. BHANDARE, Igor BILENKO, G. BILLINGSLEY, Chris BILLMAN, J. BIRCH, R. BIRNEY, O. BIRNHOLTZ, S. BISCANS, A. BISHT, M. BITOSSI, C. BIWER, J. k. BLACKBURN, J. BLACKMAN, Carl BLAIR, David BLAIR, Ryan BLAIR, S. BLOEMEN, O. BOCK, N. BODE, A. BOHE, Boris BOOM, R. BORK, V. BOSCHI, S. BOSE, A. BOZZI, C. BRADASCHIA, Patrick BRADY, Vladimir BRAGINSKY, M. BRANCHESI, Jim BRAU, M. BRINKMANN, P. BROCKILL, Jacob BROIDA, Aidan BROOKS, Duncan BROWN, Nicolas BROWN, S. BRUNETT, Christopher BUCHANAN, A. BUIKEMA, T. BULIK, Henk BULTEN, A. BUONANNO, Robert BYER, M. CABERO, L. CADONATI, C. CAHILLANE, J. CALDERON BUSTILLO, Thomas CALLISTER, E. CALLONI, Jordan CAMP, P. CANIZARES, Kipp CANNON, H. CAO, J. CAO, Collin CAPANO, F. CARBOGNANI, S. CARIDE, Matthew CARNEY, C. CASENTINI, S. CAUDILL, M. CAVAGLIA, R. CAVALIERI, G. CELLA, Christian CEPEDA, L. CERBONI BAIARDI, G. CERRETANI, E. CESARINI, Sydney CHAMBERLIN, M. CHAN, S. CHAO, P. CHARLTON, D. CHATTERJEE, Belinda CHEESEBORO, H. y. CHEN, Y. CHEN, H. p. CHENG, A. CHINCARINI, A. CHIUMMO, T. CHMIEL, Heesuk CHO, M. CHO, Jong CHOW, Q. CHU, Alvin CHUA, A. k. w. CHUNG, S. CHUNG, G. CIANI, P. CIECIELAG, R. CIOLFI, Carissa CIRELLI, A. CIRONE, F. CLARA, James CLARK, C. COCCHIERI, E. COCCIA, A. COLLA, Christophe COLLETTE, Lynn COMINSKY, M. CONSTANCIO, L. CONTI, Sam COOPER, P. CORBAN, Thomas CORBITT, Kenneth CORLEY, N. CORNISH, A. CORSI, S. CORTESE, Cesar COSTA, E. COUGHLIN, Michael COUGHLIN, Scott COUGHLIN, Stefan COUNTRYMAN, P. COUVARES, Pep COVAS, Erika COWAN, David COWARD, Matthew COWART, Dennis COYNE, R. COYNE, Jolien CREIGHTON, Teviet CREIGHTON, J. CRIPE, Sgwynne CROWDER, Torrey CULLEN, A. CUMMING, L. CUNNINGHAM, E. CUOCO, Tito DAL CANTON, Stefan DANILISHIN, S. D ANTONIO, K. DANZMANN, A. DASGUPTA, C. f. DA SILVA COSTA, V. DATTILO, I. DAVE, D. DAVIS, Edward DAW, B. DAY, S. DE, D. DEBRA, E. DEELMAN, M. DE LAURENTIS, W. DEL POZZO, T. DENKER, T. DENT, V. DERGACHEV, R. DE ROSA, R. t. DEROSA, R. DESALVO, J. DEVENSON, Richard DEVINE, S. DHURANDHAR, Mario DIAZ, L. DI FIORE, M. DI GIOVANNI, T. DI GIROLAMO, A. DI LIETO, S. DI PACE, I. DI PALMA, F. DI RENZO, Z. DOCTOR, F. DONOVAN, Katherine DOOLEY, S. DORAVARI, O. DOROSH, I. DORRINGTON, R. DOUGLAS, M. DOVALE ALVAREZ, Thomas DOWNES, M. DRAGO, R. w. p. DREVER, Jenne DRIGGERS, Z. DU, J. DUNCAN, Sheila DWYER, Tega EDO, Matthew EDWARDS, A. EFFLER, H. b. EGGENSTEIN, P. EHRENS, J. EICHHOLZ, Stephen EIKENBERRY, Robert EISENSTEIN, Reed ESSICK, Zachariah ETIENNE, T. ETZEL, M. EVANS, Tom EVANS, M. FACTOUROVICH, V. FAFONE, H. FAIR, S. FAIRHURST, X. FAN, S. FARINON, B. FARR, Will FARR, E. j. FAUCHON JONES, M. FAVATA, M. FAYS, H. FEHRMANN, J. FEICHT, Martin FEJER, A. FERNANDEZ GALIANA, I. FERRANTE, Elvis FERREIRA, F. FERRINI, F. FIDECARO, I. FIORI, Ryan FISHER, M. FLETCHER, H. FONG, Perry FORSYTH, Steven FORSYTH, S. FRASCA, F. FRASCONI, Z. FREI, A. FREISE, R. FREY, Eric FRIES, P. FRITSCHEL, Valery FROLOV, P. FULDA, M. FYFFE, H. GABBARD, M. GABEL, Bhooshan GADRE, Sebastian GAEBEL, Jonathan GAIR, L. GAMMAITONI, Miftar GANIJA, Sharad GAONKAR, F. GARUFI, S. GAUDIO, G. GAUR, V. GAYATHRI, N. GEHRELS, G. GEMME, E. GENIN, A. GENNAI, D. GEORGE, J. GEORGE, L. GERGELY, S. GHONGE, Archisman GHOSH, S. GHOSH, Joe GIAIME, K. d. GIARDINA, A. GIAZOTTO, K. GILL, L. GLOVER, E. GOETZ, R. GOETZ, S. GOMES, G. GONZALEZ, J. m. GONZALEZ CASTRO, A. GOPAKUMAR, Michael GORODETSKY, Sarah GOSSAN, M. GOSSELIN, A. GRADO, C. GRAEF, A. GRANT, S. GRAS, C. GRAY, G. GRECO, Anna GREEN, P. GROOT, H. GROTE, S. GRUNEWALD, Gianluca GUIDI, X. GUO, A. GUPTA, Manojipr GUPTA, Kaitlin GUSHWA, Eric GUSTAFSON, R. GUSTAFSON, Bernard HALL, Evan HALL, G. HAMMOND, M. HANEY, Manuela HANKE, J. HANKS, C. HANNA, Otto HANNUKSELA, J. HANSON, T. HARDWICK, J. HARMS, Gregg HARRY, Ian HARRY, Martin HART, C. j. HASTER, K. HAUGHIAN, J. HEALY, Matthew HEINTZE, G. HEMMING, M. HENDRY, I. s. HENG, J. HENNIG, J. HENRY, Alastair HEPTONSTALL, M. HEURS, S. HILD, D. HOAK, K. HOLT, Daniel HOLZ, P. HOPKINS, C. HORST, J. HOUGH, Ewan HOUSTON, Eric HOWELL, Yiming HU, Eliu HUERTA, B. HUGHEY, S. HUSA, Sabina HUTTNER, T. HUYNH DINH, N. INDIK, Dale INGRAM, R. INTA, G. INTINI, Hafizah ISA, M. ISI, Bala IYER, K. IZUMI, K. JANI, P. JARANOWSKI, S. JAWAHAR, F. JIMENEZ FORTEZA, Warren JOHNSON, D. i. JONES, R. JONES, Reinier JONKER, L. JU, J. JUNKER, Chinmay KALAGHATGI, V. KALOGERA, S. KANDHASAMY, G. KANG, Jonah KANNER, S. KARKI, Kai KARVINEN, M. KASPRZACK, M. KATOLIK, E. KATSAVOUNIDIS, W. KATZMAN, S. KAUFER, K. KAWABE, D. KEITEL, Athol KEMBALL, R. KENNEDY, C. KENT, Joey KEY, Farit KHALILI, I. KHAN, S. KHAN, Z. KHAN, Efim KHAZANOV, N. KIJBUNCHOO, Chunglee KIM, Jeongcho KIM, Whansun KIM, Y. m. KIM, Seth KIMBRELL, Eleanor KING, Peter KING, R. KIRCHHOFF, Jeffrey KISSEL, L. KLEYBOLTE, S. KLIMENKO, P. KOCH, Sina KOEHLENBECK, S. KOLEY, V. KONDRASHOV, A. KONTOS, M. KOROBKO, William KORTH, I. KOWALSKA, Dan KOZAK, C. KRAMER, V. KRINGEL, B. KRISHNAN, A. KROLAK, G. KUEHN, P. KUMAR, R. KUMAR, S. KUMAR, L. KUO, A. KUTYNIA, S. KWANG, Benjamin LACKEY, K. h. LAI, M. LANDRY, Ryan LANG, J. LANGE, B. LANTZ, Robert LANZA, Paul LASKY, M. LAXEN, A. LAZZARINI, C. LAZZARO, P. LEACI, S. LEAVEY, C. h. LEE, Hyungwon LEE, K. LEE, J. LEHMANN, A. LENON, M. LEONARDI, Y. LEVIN, Tjonnie LI, A. LIBSON, Tyson LITTENBERG, J. LIU, W. LIU, R. k. l. LO, Nick LOCKERBIE, Lionel LONDON, Jaysin LORD, M. LORENZINI, M. LORMAND, G. LOSURDO, James LOUGH, G. LOVELACE, H. LUCK, D. LUMACA, Andrew LUNDGREN, R. LYNCH, Y. MA, S. MACFOY, B. MACHENSCHALK, M. MACINNIS, Duncan MACLEOD, I. MAGANA HERNANDEZ, F. MAGANA SANDOVAL, L. MAGANA ZERTUCHE, Ryan MAGEE, E. MAJORANA, V. MANDIC, V. MANGANO, Georgia MANSELL, M. MANSKE, M. MANTOVANI, F. MARCHESONI, S. MARKA, Z. MARKA, C. MARKAKIS, Ashot MARKOSYAN, E. MAROS, F. MARTELLI, Ian MARTIN, Denis MARTYNOV, Jay MARX, K. MASON, Thomas MASSINGER, M. MASSO REID, S. MASTROGIOVANNI, A. MATAS, F. MATICHARD, L. MATONE, N. MAVALVALA, R. MAYANI, N. MAZUMDER, R. MCCARTHY, D. e. MCCLELLAND, S. MCCORMICK, L. MCCULLER, S. c. MCGUIRE, G. MCINTYRE, J. MCIVER, David MCMANUS, T. MCRAE, S. t. MCWILLIAMS, D. MEACHER, Grant MEADORS, J. MEIDAM, E. MEJUTO VILLA, A. MELATOS, G. MENDELL, R. a. MERCER, Edmond MERILH, S. MESHKOV, C. MESSENGER, C. MESSICK, Patrick MEYERS, F. MEZZANI, H. MIAO, H. MIDDLETON, Eugeniy MIKHAILOV, L. MILANO, Andrewlawrence MILLER, Brandon MILLER, J. MILLER, M. MILLHOUSE, Y. MINENKOV, J. MING, C. MISHRA, S. MITRA, Valery MITROFANOV, G. MITSELMAKHER, R. MITTLEMAN, A. MOGGI, M. MOHAN, S. r. p. MOHAPATRA, M. MONTANI, Blake MOORE, Christopher MOORE, D. MORARU, G. MORENO, Sean MORRISS, C. m. MOW LOWRY, G. MUELLER, Alistair MUIR, Arunava MUKHERJEE, D. MUKHERJEE, S. MUKHERJEE, N. MUKUND, A. MULLAVEY, J. MUNCH, Erik MUNIZ, Peter MURRAY, K. NAPIER, I. NARDECCHIA, L. NATICCHIONI, Rajesh NAYAK, G. NELEMANS, Timothy NELSON, M. NERI, M. NERY, A. NEUNZERT, Jonathan NEWPORT, G. NEWTON, K. k. y. NG, Thanh NGUYEN, D. NICHOLS, Alex NIELSEN, S. NISSANKE, A. NITZ, A. NOACK, F. NOCERA, D. NOLTING, Marc NORMANDIN, Laura NUTTALL, J. OBERLING, E. OCHSNER, E. OELKER, Greg OGIN, John OH, Sanghoon OH, F. OHME, M. OLIVER, P. OPPERMANN, Richard j. ORAM, B. O REILLY, R. ORMISTON, Luis ORTEGA, R. O SHAUGHNESSY, David OTTAWAY, H. OVERMIER, Ben OWEN, Alexander PACE, J. PAGE, Michael PAGE, A. PAI, Siddhesh PAI, Jordan PALAMOS, O. PALASHOV, C. PALOMBA, A. PAL SINGH, H. PAN, B. PANG, P. t. h. PANG, C. PANKOW, F. PANNARALE, Brijesh PANT, F. PAOLETTI, A. PAOLI, Maria PAPA, Hugo PARIS, W. PARKER, D. PASCUCCI, A. PASQUALETTI, R. PASSAQUIETI, D. PASSUELLO, B. PATRICELLI, Brynley PEARLSTONE, M. PEDRAZA, L. PEKOWSKY, A. PELE, S. PENN, Carlos PEREZ, A. PERRECA, Leah PERRI, Harald PFEIFFER, M. PHELPS, Ornella PICCINNI, F. PIERGIOVANNI, V. PIERRO, G. PILLANT, Innocenzo PINTO, A. PISARSKI, M. PITKIN, R. POGGIANI, P. POPOLIZIO, A. POST, J. POWELL, J. PRASAD, James PRATT, V. PREDOI, T. PRESTEGARD, M. PRIJATELJ, M. PRINCIPE, S. PRIVITERA, R. PRIX, Giovanni PRODI, Leonid PROKHOROV, O. PUNCKEN, M. PUNTURO, P. PUPPO, M. PURRER, H. QI, J. QIN, S. QIU, V. QUETSCHKE, Eric QUINTERO, R. QUITZOW JAMES, Fred RAAB, David RABELING, H. RADKINS, P. RAFFAI, S. RAJA, C. RAJAN, M. RAKHMANOV, Karla RAMIREZ, P. RAPAGNANI, V. RAYMOND, M. RAZZANO, J. READ, L. REI, S. REID, David REITZE, H. REW, Steven REYES, F. RICCI, Paul RICKER, S. RIEGER, K. RILES, M. RIZZO, Norna ROBERTSON, R. ROBIE, A. ROCCHI, Jameson ROLLINS, Vincent ROMA, R. ROMANO, Chandra ROMEL, Janeen ROMIE, D. ROSINSKA, Michael ROSS, S. ROWAN, A. RUDIGER, P. RUGGI, K. RYAN, M. RYNGE, S. SACHDEV, T. SADECKI, L. SADEGHIAN, M. SAKELLARIADOU, L. SALCONI, M. SALEEM, F. SALEMI, A. SAMAJDAR, L. SAMMUT, Laura SAMPSON, Eduardo SANCHEZ, V. SANDBERG, B. SANDEEN, Jaclyn SANDERS, Peter SAULSON, O. SAUTER, Richard SAVAGE, A. SAWADSKY, P. SCHALE, J. SCHEUER, E. SCHMIDT, J. SCHMIDT, P. SCHMIDT, R. SCHNABEL, Robert SCHOFIELD, A. SCHONBECK, E. SCHREIBER, D. SCHUETTE, Bernd SCHULTE, Bernard SCHUTZ, Sophia SCHWALBE, J. SCOTT, Susan SCOTT, E. SEIDEL, D. SELLERS, Anand SENGUPTA, D. SENTENAC, V. SEQUINO, A. SERGEEV, Daniel SHADDOCK, Thomas SHAFFER, Ankur SHAH, M. s. SHAHRIAR, L. SHAO, B. SHAPIRO, P. SHAWHAN, A. SHEPERD, Deirdre SHOEMAKER, K. SIELLEZ, X. SIEMENS, M. SIENIAWSKA, D. SIGG, Allan SILVA, A. SINGER, Leo SINGER, A. SINGH, R. SINGH, A. SINGHAL, Alicia SINTES, Bram SLAGMOLEN, B. SMITH, Joshua SMITH, Rory SMITH, Edwin SON, Jacob SONNENBERG, B. SORAZU, F. SORRENTINO, T. SOURADEEP, Andrew SPENCER, Amit SRIVASTAVA, A. STALEY, M. STEINKE, J. STEINLECHNER, S. STEINLECHNER, D. STEINMEYER, Branson STEPHENS, R. STONE, Ken STRAIN, G. STRATTA, Sergey STRIGIN, R. STURANI, Amber STUVER, Tiffany SUMMERSCALES, L. SUN, S. SUNIL, Patrick SUTTON, Bas SWINKELS, Marek SZCZEPANCZYK, D. TALUKDER, David TANNER, D. TAO, M. TAPAI, A. TARACCHINI, Jordan TAYLOR, R. TAYLOR, T. THEEG, E. g. THOMAS, M. THOMAS, P. THOMAS, Keith THORNE, E. THRANE, S. TIWARI, V. TIWARI, Kirill TOKMAKOV, K. TOLAND, M. TONELLI, Z. TORNASI, Calum TORRIE, D. TOYRA, F. TRAVASSO, G. TRAYLOR, S. TREMBATH REICHERT, D. TRIFIRO, J. TRINASTIC, Maria TRINGALI, L. TROZZO, K. w. TSANG, M. TSE, R. TSO, D. TUYENBAYEV, K. UENO, D. 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SUTTON, B. l. SWINKELS, M. j. SZCZEPANCZYK, D. b. TANNER, J. a. TAYLOR, K. a. THORNE, K. v. TOKMAKOV, C. i. TORRIE, M. c. TRINGALI, C. s. UNNIKRISHNAN, A. l. URBAN, S. a. USMAN, P. j. VEITCH, A. d. VIETS, D. j. VINE, W. d. VOUSDEN, S. p. VYATCHANIN, A. r. WADE, L. e. WADE, J. z. WANG, R. l. WARD, A. j. WEINSTEIN, E. k. WESSEL, J. t. WHELAN, B. f. WHITING, R. d. WILLIAMS, A. r. WILLIAMSON, J. l. WILLIS, M. h. WIMMER, C. c. WIPF, J. l. WRIGHT, D. s. WU, C. c. YANCEY, X. j. ZHU, M. e. ZUCKERPhysical Review D | 2017We report on an all-sky search for periodic gravitational waves in the frequency band 20–475 Hz and with a frequency time derivative in the range of [-1.0,+0.1]×10-8 Hz/s. Such a signal could be produced by a nearby spinning and slightly nonaxisymmetric isolated neutron star in our galaxy. This search uses the data from Advanced LIGO’s first observational run, O1. No periodic gravitational wave signals were observed, and upper limits were placed on their strengths. The lowest upper limits on worst-case (linearly polarized) strain amplitude h0 are ∼4×10-25 near 170 Hz. For a circularly polarized source (most favorable orientation), the smallest upper limits obtained are ∼1.5×10-25. These upper limits refer to all sky locations and the entire range of frequency derivative values. For a population-averaged ensemble of sky locations and stellar orientations, the lowest upper limits obtained for the strain amplitude are ∼2.5×10-25.The stochastic gravitational background: detection methods in non-Gaussian regimes.
Lionel MARTELLINI, Tania REGIMBAU, Mairi SAKELLARIADOU, Tania REGIMBAU, Mairi SAKELLARIADOU, Joseph d. ROMANO, Nelson CHRISTENSEN, Chiara CAPRINI, Jean daniel FOURNIER, Mairi SAKELLARIADOU, Joseph d. ROMANO2017Standard methods for detecting the stochastic gravitational background are based on the simplifying assumption that its distribution as well as that of the detector noise are Gaussian. In this thesis, we propose improved methods for detecting the stochastic gravitational background that explicitly take into account the non-Gaussian character of these distributions. Using an Edgeworth development, we first obtain an analytical expression for the likelihood ratio statistic in the presence of a non-Gaussian distribution of the stochastic gravity background. This expression generalizes the usual expression when the symmetry coefficient and the kurtosis coefficient of the stochastic background distribution are non-zero. On the basis of stochastic simulations for different symmetric distributions with thicker tails than the Gaussian distribution, we show that the 4th cumulant can be estimated with an acceptable accuracy when the signal-to-noise ratio is higher than 1%, which should allow to provide interesting additional constraints on the values of parameters from astrophysical and cosmological models. In a second step, we seek to analyze the impact of deviations from normality in the detector noise distribution on the stochastic gravitational background detection methods.Equity Portfolios with Improved Liability-Hedging Benefits.
Guillaume COQUERET, Lionel MARTELLINI, Vincent MILHAUThe Journal of Portfolio Management | 2017This article analyzes whether it isdesirable andfeasible for an investor endowed with liabilities to hold an equity portfolio with better liability-hedging properties than a broad cap-weighted index. From a theoretical standpoint, the authors show that liability-driven investors will generally benefit from reducing the tracking error of their performance portfolios with respect to liabilities, unless this comes at an exceedingly large loss of performance. The authors then empirically document the heterogeneity of interest-rate-hedging properties across the constituents of the S&P 500 universe, and they show that substantial welfare gains can be achieved by selecting low-volatility and high-dividend-yield stocks. These benefits are further enhanced if a minimum-variance weighting scheme is applied to the selected stocks.Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions.
Lionel MARTELLINI, Vincent MILHAUThe Journal of Portfolio Management | 2017No summary available.GW170104: Observation of a 50-Solar-Mass Binary Black Hole Coalescence at Redshift 0.2.
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O'REILLY, L f ORTEGA, R. O'SHAUGHNESSY, D j OTTAWAY, B j OWEN, A e PACE, M a PAGE, S a PAI, J r PALAMOS, B c PANT, M a PAPA, H r PARIS, B l PEARLSTONE, C j PEREZ, L m PERRI, H p PFEIFFER, O j PICCINNI, I m PINTO, E k PORTER, J w w PRATT, G a PRODI, L g PROKHOROV, E a QUINTERO, F j RAAB, D s RABELING, K e RAMIREZ, D h REITZE, S d REYES, P m RICKER, N a ROBERTSON, J g ROLLINS, V j ROMA, J d ROMANO, C l ROMEL, J h ROMIE, M p ROSS, L m SAMPSON, E j SANCHEZ, J r SANDERS, P r SAULSON, R l SAVAGE, R m s SCHOFIELD, B w SCHULTE, B f SCHUTZ, S g SCHWALBE, S m SCOTT, A s SENGUPTA, D a SHADDOCK, T j SHAFFER, A a SHAH, D h SHOEMAKER, A d SILVA, L p SINGER, A m SINTES, B j j SLAGMOLEN, J r SMITH, R j e SMITH, E j SON, J a SONNENBERG, A p SPENCER, A k SRIVASTAVA, B c STEPHENS, S p STEVENSON, K a STRAIN, S e STRIGIN, A l STUVER, T z SUMMERSCALES, P j SUTTON, B l SWINKELS, M j SZCZEPANCZYK, D b TANNER, J a TAYLOR, K a THORNE, K v TOKMAKOV, C i TORRIE, M c TRINGALI, C s UNNIKRISHNAN, A l URBAN, S a USMAN, P j VEITCH, A d VIETS, D j VINE, W d VOUSDEN, S p VYATCHANIN, A r WADE, L e WADE, J z WANG, R l WARD, A j WEINSTEIN, E k WESSEL, J t WHELAN, B f WHITING, R d WILLIAMS, A r WILLIAMSON, J l WILLIS, M h WIMMER, C c WIPF, J l WRIGHT, D s WU, C c YANCEY, X j ZHU, M e ZUCKER, D d BROWN, Abhirup GHOSH, H m LEE, D m SHOEMAKER, K s THORNE, Hang YUPhysical Review Letters | 2017We describe the observation of GW170104, a gravitational-wave signal produced by the coalescence of a pair of stellar-mass black holes. The signal was measured on January 4, 2017 at 10∶11:58.6 UTC by the twin advanced detectors of the Laser Interferometer Gravitational-Wave Observatory during their second observing run, with a network signal-to-noise ratio of 13 and a false alarm rate less than 1 in 70 000 years. The inferred component black hole masses are 31. 2 + 8.4 − 6.0 M ⊙ and 19. 4 + 5.3 − 5.9 M ⊙ (at the 90% credible level). The black hole spins are best constrained through measurement of the effective inspiral spin parameter, a mass-weighted combination of the spin components perpendicular to the orbital plane, χ eff = − 0.1 2 + 0.21 − 0.30 . This result implies that spin configurations with both component spins positively aligned with the orbital angular momentum are disfavored. The source luminosity distance is 88 0 + 450 − 390 Mpc corresponding to a redshift of z = 0.1 8 + 0.08 − 0.07 . We constrain the magnitude of modifications to the gravitational-wave dispersion relation and perform null tests of general relativity. Assuming that gravitons are dispersed in vacuum like massive particles, we bound the graviton mass to m g ≤ 7.7 × 10 − 23 eV / c 2 . In all cases, we find that GW170104 is consistent with general relativity.Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting.
Jean michel MAESO, Lionel MARTELLINIThe Journal of Alternative Investments | 2017No summary available.GW170817: Observation of Gravitational Waves from a Binary Neutron Star Inspiral.
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k w CHUNG, S CHUNG, G CIANI, R CIOLFI, Carissa CIRELLI, A CIRONE, F CLARA, James CLARK, P CLEARWATER, C COCCHIERI, E COCCIA, A COLLA, Christophe COLLETTE, Lynn COMINSKY, M CONSTANCIO, L CONTI, Sam COOPER, P CORBAN, Thomas CORBITT, I CORDERO CARRION, Kenneth CORLEY, N CORNISH, A CORSI, S CORTESE, Cesar COSTA, Michael COUGHLIN, Scott COUGHLIN, Stefan COUNTRYMAN, P COUVARES, Pep COVAS, Erika COWAN, David COWARD, Matthew COWART, Dennis COYNE, R COYNE, Jolien CREIGHTON, Teviet CREIGHTON, J CRIPE, Sgwynne CROWDER, Torrey CULLEN, A CUMMING, L CUNNINGHAM, E CUOCO, T DAL CANTON, G DALYA, Stefan DANILISHIN, S D ANTONIO, K DANZMANN, A DASGUPTA, C f DA SILVA COSTA, V DATTILO, I DAVE, D DAVIS, Edward DAW, B DAY, S DE, D DEBRA, M DE LAURENTIS, W DEL POZZO, N DEMOS, T DENKER, T DENT, R DE PIETRI, V DERGACHEV, R DE ROSA, R t DEROSA, R DESALVO, O DE VARONA, J DEVENSON, S DHURANDHAR, Mario DIAZ, T DIETRICH, L DI FIORE, M DI GIOVANNI, T DI GIROLAMO, A DI LIETO, S DI PACE, I DI PALMA, F DI RENZO, Z DOCTOR, F DONOVAN, Katherine DOOLEY, S DORAVARI, I DORRINGTON, R DOUGLAS, M DOVALE ALVAREZ, Thomas DOWNES, M DRAGO, C DREISSIGACKER, Jenne DRIGGERS, Z DU, R DUDI, P DUPEJ, Sheila DWYER, Tega EDO, Matthew EDWARDS, A EFFLER, H b EGGENSTEIN, P EHRENS, J EICHHOLZ, Stephen EIKENBERRY, Robert EISENSTEIN, Reed ESSICK, Zachariah ETIENNE, T ETZEL, M EVANS, Tom EVANS, M FACTOUROVICH, V FAFONE, H FAIR, S FAIRHURST, X FAN, S FARINON, B FARR, Will FARR, E j FAUCHON JONES, M FAVATA, M FAYS, C FEE, H FEHRMANN, J FEICHT, Martin FEJER, A FERNANDEZ GALIANA, I FERRANTE, Elvis FERREIRA, F FERRINI, F FIDECARO, D FINSTAD, I FIORI, M FISHBACH, Ryan FISHER, M FITZ AXEN, M FLETCHER, H FONG, J a FONT, Perry FORSYTH, Steven FORSYTH, S FRASCA, F FRASCONI, Z FREI, A FREISE, R FREY, Eric FRIES, P FRITSCHEL, Valery FROLOV, P FULDA, M FYFFE, H GABBARD, Bhooshan GADRE, Sebastian GAEBEL, Jonathan GAIR, L GAMMAITONI, Miftar GANIJA, Sharad GAONKAR, C GARCIA QUIROS, F GARUFI, B GATELEY, S GAUDIO, G GAUR, V GAYATHRI, N GEHRELS, G GEMME, E GENIN, A GENNAI, D GEORGE, J GEORGE, L GERGELY, S GHONGE, Archisman GHOSH, S GHOSH, Joe GIAIME, K d GIARDINA, A GIAZOTTO, K GILL, L GLOVER, E GOETZ, R GOETZ, S GOMES, B GONCHAROV, G GONZALEZ, J m GONZALEZ CASTRO, A GOPAKUMAR, Michael GORODETSKY, Sarah GOSSAN, M GOSSELIN, A GRADO, C GRAEF, A GRANT, S GRAS, C GRAY, G GRECO, Anna GREEN, Elizabeth GRETARSSON, P GROOT, H GROTE, S GRUNEWALD, Gianluca GUIDI, X GUO, A GUPTA, Manojipr GUPTA, Kaitlin GUSHWA, Eric GUSTAFSON, R GUSTAFSON, O HALIM, Bernard HALL, Evan HALL, Eleanor HAMILTON, G HAMMOND, M HANEY, Manuela HANKE, J HANKS, C HANNA, Mark HANNAM, Otto HANNUKSELA, J HANSON, T HARDWICK, J HARMS, Gregg HARRY, Ian HARRY, Martin HART, C j HASTER, K HAUGHIAN, J HEALY, Matthew HEINTZE, G HEMMING, M HENDRY, I s HENG, J HENNIG, Alastair HEPTONSTALL, M HEURS, S HILD, T HINDERER, Wynn HO, D HOAK, K HOLT, Daniel HOLZ, P HOPKINS, C HORST, J HOUGH, Ewan HOUSTON, Eric HOWELL, Yiming HU, Eliu HUERTA, B HUGHEY, S HUSA, Sabina HUTTNER, T HUYNH DINH, N INDIK, R INTA, G INTINI, Hafizah ISA, M ISI, Bala IYER, K IZUMI, K JANI, P JARANOWSKI, S JAWAHAR, F JIMENEZ FORTEZA, Warren JOHNSON, N k JOHNSON MCDANIEL, D i JONES, R JONES, Reinier JONKER, L JU, J JUNKER, Chinmay KALAGHATGI, V KALOGERA, B KAMAI, S KANDHASAMY, G KANG, Jonah KANNER, Shasvath KAPADIA, S KARKI, Kai KARVINEN, M KASPRZACK, W KASTAUN, M KATOLIK, E KATSAVOUNIDIS, W KATZMAN, S KAUFER, K KAWABE, D KEITEL, Athol KEMBALL, R KENNEDY, C KENT, Joey KEY, Farit KHALILI, I KHAN, S KHAN, Z KHAN, Efim KHAZANOV, N KIJBUNCHOO, Chunglee KIM, Jeongcho KIM, K KIM, Whansun KIM, Y m KIM, Seth KIMBRELL, Eleanor KING, Peter KING, M KINLEY HANLON, R KIRCHHOFF, Jeffrey KISSEL, L KLEYBOLTE, S KLIMENKO, Tyler KNOWLES, P KOCH, Sina KOEHLENBECK, S KOLEY, V KONDRASHOV, A KONTOS, M KOROBKO, William KORTH, I KOWALSKA, Dan KOZAK, C KRAMER, V KRINGEL, B KRISHNAN, A KROLAK, G KUEHN, P KUMAR, R KUMAR, S KUMAR, L KUO, A KUTYNIA, S KWANG, Benjamin LACKEY, K h LAI, M LANDRY, Ryan LANG, J LANGE, B LANTZ, Robert LANZA, Shane LARSON, Paul LASKY, M LAXEN, A LAZZARINI, C LAZZARO, P LEACI, S LEAVEY, C h LEE, Hyunkyu LEE, Hyungwon LEE, K LEE, J LEHMANN, A LENON, E LEON, M LEONARDI, Y LEVIN, Tjonnie LI, Seth LINKER, Tyson LITTENBERG, J LIU, X LIU, R k l LO, Nick LOCKERBIE, Lionel LONDON, Jaysin LORD, M LORENZINI, M LORMAND, G LOSURDO, James LOUGH, Carlos LOUSTO, G LOVELACE, H LUCK, D LUMACA, Andrew LUNDGREN, R LYNCH, Y MA, R MACAS, S MACFOY, B MACHENSCHALK, M MACINNIS, Duncan MACLEOD, I MAGANA HERNANDEZ, F MAGANA SANDOVAL, L MAGANA ZERTUCHE, Ryan MAGEE, E MAJORANA, V MANDIC, V MANGANO, Georgia MANSELL, M MANSKE, M MANTOVANI, F MARCHESONI, S MARKA, Z MARKA, C MARKAKIS, Ashot MARKOSYAN, A MARKOWITZ, E MAROS, A MARQUINA, P MARSH, F MARTELLI, Ian MARTIN, Rodica MARTIN, Denis MARTYNOV, Jay MARX, K MASON, E MASSERA, Thomas MASSINGER, M MASSO REID, S MASTROGIOVANNI, A MATAS, F MATICHARD, L MATONE, N MAVALVALA, N MAZUMDER, R MCCARTHY, D e MCCLELLAND, S MCCORMICK, L MCCULLER, S c MCGUIRE, G MCINTYRE, J MCIVER, David MCMANUS, L MCNEILL, T MCRAE, S t MCWILLIAMS, D MEACHER, Grant MEADORS, M MEHMET, J MEIDAM, E MEJUTO VILLA, A MELATOS, G MENDELL, R a MERCER, Edmond MERILH, S MESHKOV, C MESSENGER, C MESSICK, Patrick MEYERS, H MIAO, H MIDDLETON, Eugeniy MIKHAILOV, L MILANO, Andrewlawrence MILLER, Brandon MILLER, J MILLER, M MILLHOUSE, M c MILOVICH GOFF, Y MINENKOV, J MING, C MISHRA, S MITRA, Valery MITROFANOV, G MITSELMAKHER, R MITTLEMAN, D MOFFA, A MOGGI, K MOGUSHI, M MOHAN, S r p MOHAPATRA, I MOLINA, M MONTANI, Christopher MOORE, D MORARU, G MORENO, S MORISAKI, Sean MORRISS, C m MOW LOWRY, G MUELLER, Alistair MUIR, Arunava MUKHERJEE, D MUKHERJEE, S MUKHERJEE, N MUKUND, A MULLAVEY, J MUNCH, Erik MUNIZ, M MURATORE, Peter MURRAY, K NAPIER, I NARDECCHIA, L NATICCHIONI, Rajesh NAYAK, J NEILSON, G NELEMANS, Timothy NELSON, M NERY, A NEUNZERT, L NEVIN, Jonathan NEWPORT, G NEWTON, K k y NG, P NGUYEN, Thanh NGUYEN, D NICHOLS, Alex NIELSEN, S NISSANKE, A NITZ, A NOACK, F NOCERA, D NOLTING, C NORTH, Laura NUTTALL, J OBERLING, G d O DEA, Greg OGIN, John OH, Sanghoon OH, F OHME, Marcos OKADA, M OLIVER, P OPPERMANN, Richard j ORAM, B O REILLY, R ORMISTON, Luis ORTEGA, R O SHAUGHNESSY, S OSSOKINE, David OTTAWAY, H OVERMIER, Ben OWEN, Alexander PACE, J PAGE, Michael PAGE, A PAI, Siddhesh PAI, Jordan PALAMOS, O PALASHOV, C PALOMBA, A PAL SINGH, Huang wei PAN, B PANG, P t h PANG, C PANKOW, F PANNARALE, Brijesh PANT, F PAOLETTI, A PAOLI, Maria PAPA, A PARIDA, W PARKER, D PASCUCCI, A PASQUALETTI, R PASSAQUIETI, D PASSUELLO, M PATIL, B PATRICELLI, Brynley PEARLSTONE, M PEDRAZA, L PEKOWSKY, A PELE, S PENN, Carlos PEREZ, A PERRECA, Leah PERRI, Harald PFEIFFER, M PHELPS, Ornella PICCINNI, F PIERGIOVANNI, V PIERRO, G PILLANT, Innocenzo PINTO, M PIRELLO, M PITKIN, M POE, R POGGIANI, P POPOLIZIO, A POST, J POWELL, J PRASAD, James PRATT, G PRATTEN, V PREDOI, T PRESTEGARD, M PRIJATELJ, M PRINCIPE, S PRIVITERA, R PRIX, Giovanni PRODI, Leonid PROKHOROV, O PUNCKEN, M PUNTURO, P PUPPO, M PURRER, H QI, V QUETSCHKE, Eric QUINTERO, R QUITZOW JAMES, Fred RAAB, David RABELING, H RADKINS, P RAFFAI, S RAJA, C RAJAN, B RAJBHANDARI, M RAKHMANOV, Karla RAMIREZ, A RAMOS BUADES, P RAPAGNANI, V RAYMOND, M RAZZANO, J READ, L REI, S REID, David REITZE, W REN, Steven REYES, F RICCI, Paul RICKER, S RIEGER, K RILES, M RIZZO, Norna ROBERTSON, R ROBIE, A ROCCHI, Jameson ROLLINS, Vincent ROMA, Joseph ROMANO, R ROMANO, Chandra ROMEL, Janeen ROMIE, D ROSINSKA, Michael ROSS, S ROWAN, A RUDIGER, P RUGGI, G RUTINS, K RYAN, S SACHDEV, T SADECKI, L SADEGHIAN, M SAKELLARIADOU, L SALCONI, M SALEEM, F SALEMI, A SAMAJDAR, L SAMMUT, Laura SAMPSON, Eduardo SANCHEZ, Luis SANCHEZ, N SANCHIS GUAL, V SANDBERG, Jaclyn SANDERS, B s SATHYAPRAKASH, Peter SAULSON, O SAUTER, Richard SAVAGE, A SAWADSKY, P SCHALE, M SCHEEL, J SCHEUER, J SCHMIDT, P SCHMIDT, R SCHNABEL, Robert SCHOFIELD, A SCHONBECK, E SCHREIBER, D SCHUETTE, Bernd SCHULTE, Bernard SCHUTZ, Sophia SCHWALBE, J SCOTT, Susan SCOTT, E SEIDEL, D SELLERS, Anand SENGUPTA, D SENTENAC, V SEQUINO, A SERGEEV, Daniel SHADDOCK, Thomas SHAFFER, Ankur SHAH, M s SHAHRIAR, Morgan SHANER, L SHAO, B SHAPIRO, P SHAWHAN, A SHEPERD, Deirdre SHOEMAKER, K SIELLEZ, X SIEMENS, M SIENIAWSKA, D SIGG, Allan SILVA, Leo SINGER, A SINGH, A SINGHAL, Alicia SINTES, Bram SLAGMOLEN, B SMITH, Joshua SMITH, Rory SMITH, S SOMALA, Edwin SON, Jacob SONNENBERG, B SORAZU, F SORRENTINO, T SOURADEEP, Andrew SPENCER, Amit SRIVASTAVA, K STAATS, A STALEY, M STEINKE, J STEINLECHNER, S STEINLECHNER, D STEINMEYER, Simon STEVENSON, R STONE, David STOPS, Ken STRAIN, G STRATTA, Sergey STRIGIN, A STRUNK, R STURANI, Amber STUVER, Tiffany SUMMERSCALES, L SUN, S SUNIL, J SURESH, Patrick SUTTON, Bas SWINKELS, Marek SZCZEPANCZYK, M TACCA, Simon TAIT, C TALBOT, D TALUKDER, David TANNER, M TAPAI, A TARACCHINI, Jay TASSON, Jordan TAYLOR, R TAYLOR, Shivam TEWARI, T THEEG, F THIES, E g THOMAS, M THOMAS, P THOMAS, Keith THORNE, E THRANE, S TIWARI, V TIWARI, Kirill TOKMAKOV, K TOLAND, M TONELLI, Z TORNASI, A TORRES FORNE, Calum TORRIE, D TOYRA, F TRAVASSO, G TRAYLOR, J TRINASTIC, Maria TRINGALI, L TROZZO, K w TSANG, M TSE, R TSO, L TSUKADA, D TSUNA, D TUYENBAYEV, K UENO, D UGOLINI, Cs UNNIKRISHNAN, Alexander URBAN, Samantha USMAN, H VAHLBRUCH, G VAJENTE, G VALDES, M VALLISNERI, N VAN BAKEL, M VAN BEUZEKOM, J f j VAN DEN BRAND, C VAN DEN BROECK, D c VANDER HYDE, L VAN DER SCHAAF, J v VAN HEIJNINGEN, A a VAN VEGGEL, M VARDARO, V VARMA, S VASS, M VASUTH, A VECCHIO, G VEDOVATO, J VEITCH, Peter VEITCH, K VENKATESWARA, G VENUGOPALAN, F VETRANO, A VICERE, Aaron VIETS, S VINCIGUERRA, David VINE, S VITALE, T VO, H VOCCA, C VORVICK, Sergey VYATCHANIN, Andrew WADE, Leslie WADE, M WADE, R WALET, M WALKER, L WALLACE, S WALSH, G WANG, H WANG, Jonathan WANG, Wenhui WANG, Yifan WANG, Robert WARD, J WARNER, J WATCHI, B WEAVER, L w WEI, M WEINERT, Alan WEINSTEIN, R WEISS, L WEN, Erik WESSEL, P WESSELS, J WESTERWECK, T WESTPHAL, K WETTE, John WHELAN, Stan WHITCOMB, Bernard WHITING, C WHITTLE, D WILKEN, D WILLIAMS, Roy WILLIAMS, Andrew WILLIAMSON, Joshua WILLIS, B WILLKE, Maximilian WIMMER, W WINKLER, Christopher WIPF, H WITTEL, G WOAN, J WOEHLER, J WOFFORD, K w k WONG, J WORDEN, Jennifer WRIGHT, David WU, Daniel WYSOCKI, S XIAO, H YAMAMOTO, Cregg YANCEY, L YANG, M j YAP, M YAZBACK, Haocun YU, A ZADROZNY, M ZANOLIN, T ZELENOVA, J p ZENDRI, M ZEVIN, L ZHANG, M ZHANG, T ZHANG, Y h ZHANG, C ZHAO, M ZHOU, Z ZHOU, Sylvia ZHU, Xingjiang ZHU, Aaron ZIMMERMAN, Michael ZUCKER, J ZWEIZIG, T d ABBOTT, R x ADHIKARI, V b ADYA, O d AGUIAR, P a ALTIN, S b ANDERSON, W g ANDERSON, S v ANGELOVA, M c ARAYA, J s AREEDA, K g ARUN, S m ASTON, D v ATALLAH, M k m BADER, P t BAKER, S w BALLMER, J c BARAYOGA, S e BARCLAY, B c BARISH, S d BARTHELMY, J c BATCH, J c BAYLEY, A s BELL, B k BERGER, J j BERO, C p l BERRY, I a BILENKO, C r BILLMAN, M a BIZOUARD, C d BLAIR, D g BLAIR, R m BLAIR, B a BOOM, P r BRADY, J e BRAU, J e BROIDA, A f BROOKS, D a BROWN, D d BROWN, C c BUCHANAN, H j BULTEN, R l BYER, T a CALLISTER, J b CAMP, K c CANNON, C d CAPANO, M f CARNEY, C b CEPEDA, S j CHAMBERLIN, B d CHEESEBORO, H s CHO, J h CHOW, A j k CHUA, C e CIRELLI, J a CLARK, C g COLLETTE, L r COMINSKY, S j COOPER, T r CORBITT, K r CORLEY, C a COSTA, M w COUGHLIN, S b COUGHLIN, S t COUNTRYMAN, P b COVAS, E e COWAN, D m COWARD, M j COWART, D c COYNE, J d e CREIGHTON, T d CREIGHTON, S g CROWDER, T j CULLEN, S l DANILISHIN, S. D'ANTONIO, E j DAW, M c DIAZ, K l DOOLEY, T p DOWNES, J c DRIGGERS, S e DWYER, T b EDO, M c EDWARDS, S s EIKENBERRY, R a EISENSTEIN, R c ESSICK, Z b ETIENNE, T m EVANS, W m FARR, M m FEJER, E c FERREIRA, R p FISHER, P w f FORSYTH, S s FORSYTH, E m FRIES, V v FROLOV, B u GADRE, S m GAEBEL, J r GAIR, M r GANIJA, S g GAONKAR, J a GIAIME, M l GORODETSKY, S e GOSSAN, A c GREEN, E m GRETARSSON, G m GUIDI, M k GUPTA, K e GUSHWA, E k GUSTAFSON, B r HALL, E d HALL, E z HAMILTON, M m HANKE, M d HANNAM, O a HANNUKSELA, G m HARRY, I w HARRY, M j HART, M c HEINTZE, A w HEPTONSTALL, W c g HO, D e HOLZ, E a HOUSTON, E j HOWELL, Y m HU, E a HUERTA, S h HUTTNER, H n ISA, B r IYER, W w JOHNSON, R j g JONKER, C v KALAGHATGI, J b KANNER, S j KAPADIA, K s KARVINEN, A j KEMBALL, J s KEY, F y KHALILI, E a KHAZANOV, J c KIM, W s KIM, S j KIMBRELL, E j KING, P j KING, J s KISSEL, T d KNOWLES, S m KOEHLENBECK, W z KORTH, D b KOZAK, B d LACKEY, R n LANG, R k LANZA, S l LARSON, P d LASKY, H k LEE, T g f LI, S d LINKER, T b LITTENBERG, N a LOCKERBIE, L t LONDON, J e LORD, J d LOUGH, C o LOUSTO, A p LUNDGREN, D m MACLEOD, R m MAGEE, G l MANSELL, A s MARKOSYAN, I w MARTIN, R m MARTIN, D v MARTYNOV, J n MARX, T j MASSINGER, D j MCMANUS, G d MEADORS, E l MERILH, P m MEYERS, E e MIKHAILOV, A l MILLER, B b MILLER, V p MITROFANOV, C j MOORE, S r MORRISS, A w MUIR, E a MUNIZ, P g MURRAY, R k NAYAK, T j n NELSON, J m NEWPORT, T t NGUYEN, A b NIELSEN, L k NUTTALL, G. d. O'DEA, G h OGIN, J j OH, S h OH, M a OKADA, B. O'REILLY, L f ORTEGA, R. O'SHAUGHNESSY, D j OTTAWAY, B j OWEN, A e PACE, M a PAGE, S a PAI, J r PALAMOS, B c PANT, M a PAPA, B l PEARLSTONE, C j PEREZ, L m PERRI, H p PFEIFFER, O j PICCINNI, I m PINTO, E k PORTER, J w w PRATT, G a PRODI, L g PROKHOROV, E a QUINTERO, F j RAAB, D s RABELING, K e RAMIREZ, D h REITZE, S d REYES, P m RICKER, N a ROBERTSON, J g ROLLINS, V j ROMA, J d ROMANO, C l ROMEL, J h ROMIE, M p ROSS, L m SAMPSON, E j SANCHEZ, L e SANCHEZ, J r SANDERS, P r SAULSON, R l SAVAGE, R m s SCHOFIELD, B w SCHULTE, B f SCHUTZ, S g SCHWALBE, S m SCOTT, A s SENGUPTA, D a SHADDOCK, T j SHAFFER, A a SHAH, M b SHANER, D h SHOEMAKER, A d SILVA, L p SINGER, A m SINTES, B j j SLAGMOLEN, J r SMITH, R j e SMITH, E j SON, J a SONNENBERG, A p SPENCER, A k SRIVASTAVA, S p STEVENSON, D j STOPS, K a STRAIN, S e STRIGIN, A l STUVER, T z SUMMERSCALES, P j SUTTON, B l SWINKELS, M j SZCZEPANCZYK, S c TAIT, D b TANNER, J d TASSON, J a TAYLOR, S v TEWARI, K a THORNE, K v TOKMAKOV, C i TORRIE, M c TRINGALI, C s UNNIKRISHNAN, A l URBAN, S a USMAN, P j VEITCH, A d VIETS, D j VINE, S p VYATCHANIN, A r WADE, L e WADE, J z WANG, W h WANG, Y f WANG, R l WARD, A j WEINSTEIN, E k WESSEL, J t WHELAN, S e WHITCOMB, B f WHITING, R d WILLIAMS, A r WILLIAMSON, J l WILLIS, M h WIMMER, C c WIPF, J l WRIGHT, D s WU, D m WYSOCKI, C c YANCEY, S j ZHU, X j ZHU, A b ZIMMERMAN, M e ZUCKER, Abhirup GHOSH, H m LEE, H w LEE, Howard PAN, D m SHOEMAKER, K s THORNE, Hang YUPhysical Review Letters | 2017On August 17, 2017 at 12∶41:04 UTC the Advanced LIGO and Advanced Virgo gravitational-wave detectors made their first observation of a binary neutron star inspiral. The signal, GW170817, was detected with a combined signal-to-noise ratio of 32.4 and a false-alarm-rate estimate of less than one per 8.0×104 years. We infer the component masses of the binary to be between 0.86 and 2.26 M⊙, in agreement with masses of known neutron stars. Restricting the component spins to the range inferred in binary neutron stars, we find the component masses to be in the range 1.17–1.60 M⊙, with the total mass of the system 2.74-0.01+0.04M⊙. The source was localized within a sky region of 28 deg2 (90% probability) and had a luminosity distance of 40-14+8 Mpc, the closest and most precisely localized gravitational-wave signal yet. The association with the γ-ray burst GRB 170817A, detected by Fermi-GBM 1.7 s after the coalescence, corroborates the hypothesis of a neutron star merger and provides the first direct evidence of a link between these mergers and short γ-ray bursts. Subsequent identification of transient counterparts across the electromagnetic spectrum in the same location further supports the interpretation of this event as a neutron star merger. This unprecedented joint gravitational and electromagnetic observation provides insight into astrophysics, dense matter, gravitation, and cosmology.Equity Portfolios with Improved Liability-Hedging Benefits.
Guillaume COQUERET, Lionel MARTELLINI, Vincent MILHAUJournal of Portfolio Management | 2017This article analyzes whether it isdesirable andfeasible for an investor endowed with liabilities to hold an equity portfolio with better liability-hedging properties than a broad cap-weighted index. From a theoretical standpoint, the authors show that liability-driven investors will generally benefit from reducing the tracking error of their performance portfolios with respect to liabilities, unless this comes at an exceedingly large loss of performance. The authors then empirically document the heterogeneity of interest-rate-hedging properties across the constituents of the S&P 500 universe, and they show that substantial welfare gains can be achieved by selecting low-volatility and high-dividend-yield stocks. These benefits are further enhanced if a minimum-variance weighting scheme is applied to the selected stocks.Toward Conditional Risk Parity:Improving Risk Budgeting Techniques in Changing Economic Environments.
Lionel MARTELLINI, Vincent MILHAU, Andrea TARELLIThe Journal of Alternative Investments | 2015Risk parity portfolios are traditionally constructed by choosing historical volatility as the risk measure. In an asset allocation context, this results in a substantial overweighting of bonds versus more volatile asset classes such as stocks: this is a concern in a low bond yield environment, since the presence of mean reversion in the yield implies that bonds are likely to perform poorly in the next future. In this article, we introduce three distinct risk parity strategies, explicitly designed to respond to changes in interest rate levels. Our results indicate that these strategies deliver higher returns when interest rates start to increase back to their long-term levels, and that the maximum Sharpe ratio portfolio, which also incorporates information on expected returns, is a less robust alternative.Efficiency of the cross-correlation statistic for gravitational wave stochastic background signals with non-Gaussian noise and heterogeneous detector sensitivities.
Lionel MARTELLINI, Tania REGIMBAUPhysical Review D | 2015No summary available.Semiparametric approach to the detection of non-Gaussian gravitational wave stochastic backgrounds.
Tania REGIMBAU, Lionel MARTELLINIPhysical Review D | 2014Using a semiparametric approach based on the fourth-order Edgeworth expansion for the unknown signal distribution, we derive an explicit expression for the likelihood detection statistic in the presence of a non-normally distributed gravitational wave stochastic background. Numerical likelihood maximization exercises based on Monte Carlo simulations for a set of large tail symmetric non-Gaussian distributions suggest that the fourth cumulant of the signal distribution can be estimated with reasonable precision when the ratio between the signal and the noise variances is larger than 0.01. The estimation of higher-order cumulants of the observed gravitational wave signal distribution is expected to provide additional constraints on astrophysical and cosmological models.Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds.
Lionel MARTELLINI, Vincent MILHAU, Andrea TARELLIThe Journal of Fixed Income | 2014In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy\ud exists for inflation-linked liabilities, and nominal bonds are often used as substitute hedging instruments. This paper provides a formal analysis of the problem of hedging inflation-linked liabilities with nominal bonds in the presence of real rate uncertainty as well as realized and expected inflation risks. While a long-only position in nominal bonds will always have a negative exposure to unexpected inflation, our analysis suggests that long-short nominal bond portfolio strategies can in principle be designed to achieve a zero exposure to changes in unexpected inflation (required to hedge inflation-linked liabilities), while having a target exposure to changes in real rate equal to that of liabilities. The practical implementation of such long-short replication strategies, however, is not a straightforward task in the presence of parameter uncertainty. We explore several non-exclusive solutions to the estimation risk problem, including the use of conditional parameter estimation methodologies as well as the introduction of robust restrictions on input parameters or portfolio weights. These approaches lead to substantial improvements in out-of-sample hedging performance.Semiparametric approach to the detection of non-Gaussian gravitational wave stochastic backgrounds.
Lionel MARTELLINI, Tania REGIMBAUPhysical Review D | 2014Using a semi-parametric approach based on the fourth-order Edgeworth expansion for the unknown signal distribution, we derive an explicit expression for the likelihood detection statistic in the presence of non-normally distributed gravitational wave stochastic backgrounds. Numerical likelihood maximization exercises based on Monte-Carlo simulations for a set of large tail symmetric non-Gaussian distributions suggest that the fourth cumulant of the signal distribution can be estimated with reasonable precision when the ratio between the signal and the noise variances is larger than 0.01. The estimation of higher-order cumulants of the observed gravitational wave signal distribution is expected to provide additional constraints on astrophysical and cosmological models.A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns.
Rene GARCIA, Daniel MANTILLA GARCIA, Lionel MARTELLINIJournal of Financial and Quantitative Analysis | 2014No summary available.Invited editorial comment.
Noel AMENC, Lionel MARTELLINIThe Journal of Portfolio Management | 20141. Noel Amenc. 1. is a professor of finance at EDHEC Business School, Ceo of Eri Scientific Beta, and the Director of EDHEC-Risk Institute In Nice, France . (noel.amenc{at}edhec-risk.com) . . 2. Lionel Martellini. 1. is a professor of finance at EDHEC Business School, a senior scientific.
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