Working paper

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Working paper

Weathering the Storm in Commodity Risk Premia Strategies

Author(s) : Hilary Till
A 2018 Financial Times article described how commodity risk premia strategies had caused a “boom in trading volumes on exchanges” with estimates of $...
2019

Working paper

An Update on Weather Fear Premia Trades

Author(s) : Hilary Till
In this article, we will review a class of trading strategies known as “weather fear premia” trades. We will describe them, arguing that they may...
2018

Working paper

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Author(s) : Stephen G. Dimmock
NBER digest, 2018
2018

Working paper

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Author(s) : Roy Kouwenberg
NBER digest, 2018
2018

Working paper

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Author(s) : Olivia S. Mitchell
NBER digest, 2018
2018

Working paper

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Author(s) : Kim Peijnenburg, PhD
NBER digest, 2018
2018

Working paper

Private and Public Schools: A Spatial Analysis of Social Segregation in France

Author(s) : Pierre Courtioux
This article provides a geographical and urban analysis of the contribution of di⁄erences in enrollment between the public and private sectors to...
2018

Working paper

Private and Public Schools: A Spatial Analysis of Social Segregation in France

Author(s) : Pierre Courtioux
This article provides a geographical and urban analysis of the contribution of di⁄erences in enrollment between the public and private sectors to...
2018

Working paper

Private and Public Schools: A Spatial Analysis of Social Segregation in France

Author(s) : Tristan-Pierre Maury
This article provides a geographical and urban analysis of the contribution of di⁄erences in enrollment between the public and private sectors to...
2018

Working paper

Private and Public Schools: A Spatial Analysis of Social Segregation in France

Author(s) : Tristan-Pierre Maury
This article provides a geographical and urban analysis of the contribution of di⁄erences in enrollment between the public and private sectors to...
2018

Working paper

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

Author(s) : Boris Fays
This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper...
2018

Working paper

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

Author(s) : Georges Hübner
This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper...
2018

Working paper

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

Author(s) : Marie Lambert
This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper...
2018

Working paper

Gamma Trading Skills in Hedge Funds

Author(s) : Boris Fays
This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs...
2018

Working paper

Gamma Trading Skills in Hedge Funds

Author(s) : Georges Hübner, PhD
This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs...
2018

Working paper

Gamma Trading Skills in Hedge Funds

Author(s) : Marie Lambert
This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs...
2018

Working paper

Are You Rich Enough for A (Single) Family Office

Author(s) : Bernd Scherer
Are you rich enough for a family office? Focusing purely on the financial economics of a family office, we derive the minimum assets under management...
2018

Working paper

Inferring Petroleum-Complex Fundamentals

Author(s) : Hilary Till
This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...
2018

Working paper

Inferring Petroleum-Complex Fundamentals

Author(s) : Joseph Eagleeye
This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...
2018

Working paper

Factor-Based Commodity Investing

Author(s) : Athanasios Sakkas
A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly,...
2018

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