Abraham Lioui

Available identifiers

Publication	Date of Publication	Type
Factor investing for the long run	2021-04-07	Paper
Long horizon predictability: an asset allocation perspective	2019-06-27	Paper
Macroeconomic environment, money demand and portfolio choice	2019-01-09	Paper
Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences	2018-11-01	Paper
Understanding dynamic mean variance asset allocation	2016-10-07	Paper
Optimal benchmarking for active portfolio managers	2014-07-27	Paper
A paradox of the mean variance setting for the long term investor	2014-06-20	Paper
Monetary non-neutrality in the sidrauski model under uncertainty	2013-01-29	Paper
Habit persistence in consumption and the demand for money	2013-01-28	Paper
The minimum variance hedge ratio under stochastic interest rates	2012-02-12	Paper
The asset allocation puzzle is still a puzzle	2009-05-18	Paper
Dynamic asset pricing with non-redundant forwards	2008-10-24	Paper
Stochastic dividend yields and derivatives pricing in complete markets	2007-02-14	Paper
On optimal portfolio choice under stochastic interest rates	2001-08-20	Paper
Optimal spreading when spreading is optimal	1999-01-12	Paper
Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth	1997-02-27	Paper

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