Working paper

Author(s) : Rene Garcia
We revisit these questions from a novel perspective, by taking the cross-sectional variance of stock returns as a measure of average idiosyncratic...
2011
Author(s) : Daniel Mantilla-Garcia
We revisit these questions from a novel perspective, by taking the cross-sectional variance of stock returns as a measure of average idiosyncratic...
2011
Author(s) : Lionel Martellini
We revisit these questions from a novel perspective, by taking the cross-sectional variance of stock returns as a measure of average idiosyncratic...
2011
Author(s) : Hilary Till

2011
Author(s) : Lionel Martellini
In the presence of unspanned basis risk modeled as a Brownian bridge process, which explicitly accounts for the convergence of the basis to zero as...
2011
Author(s) : Vincent Milhau
In the presence of unspanned basis risk modeled as a Brownian bridge process, which explicitly accounts for the convergence of the basis to zero as...
2011
Author(s) : Florencio Lopez-de-Silanes
The median investment IRR (PME) is 21% (1.3), gross of fees. One in ten investments goes bankrupt, whereas one in four has an IRR above 50%. Only one...
2011
Author(s) : Ludovic Phalippou
The median investment IRR (PME) is 21% (1.3), gross of fees. One in ten investments goes bankrupt, whereas one in four has an IRR above 50%. Only one...
2011
Author(s) : Oliver Gottschalg
The median investment IRR (PME) is 21% (1.3), gross of fees. One in ten investments goes bankrupt, whereas one in four has an IRR above 50%. Only one...
2011
Author(s) : Gideon Ozik
We classify news items about equity hedge funds over 1999-2008 into three source groups: General newspapers, Specialized magazines, and Corporate...
2011
Author(s) : Ronnie Sadka
We classify news items about equity hedge funds over 1999-2008 into three source groups: General newspapers, Specialized magazines, and Corporate...
2011
Author(s) : Hilary Till
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) : Hilary Till
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) :
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) :
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) : Joseph Eagleeye
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) : Joseph Eagleeye
A prospective commodity manager must not only discover trading strategies that are expected to be generally...
2011
Author(s) : Hilary Till
A version of this article appeared in the edited Wiley Finance book, Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio...
2011
Author(s) : Joseph Eagleeye
A version of this article appeared in the edited Wiley Finance book, Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio...
2011
Author(s) : Harjoat S. Bhamra
We solve in closed form for the following quantities: optimal consumption and portfolio policies of individual agents; the riskless interest rate and...
2011

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