Journal of Banking & Finance (2020), The Journal of Portfolio Management (2019), European Financial Management (2015), Journal of Empirical Finance (2013), Finance (2012), Journal of Derivatives and Hedge Funds (2012)
This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper...
This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs...
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