Working paper

Author(s) : Lionel Martellini
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) : Lionel Martellini
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) : Volker Ziemann
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) : Volker Ziemann
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in...
2007
Author(s) : Ana-Maria Fuertes
It shows that momentum returns are not normally distributed. About 70 basis points of the annual momentum profits can be attributed to systematic...
2007
Author(s) : Joelle Miffre
It shows that momentum returns are not normally distributed. About 70 basis points of the annual momentum profits can be attributed to systematic...
2007
Author(s) : Wooi-Hou Tan
It shows that momentum returns are not normally distributed. About 70 basis points of the annual momentum profits can be attributed to systematic...
2007
Author(s) : Daniel Giamouridis
We compute VaR and ES through completely modelfree methods, as well as through mean/variance and distribution model-based methods. Among the models...
2007
Author(s) : Ioanna Ntoula
We compute VaR and ES through completely modelfree methods, as well as through mean/variance and distribution model-based methods. Among the models...
2007
Author(s) : Hilary Till
On October 2nd, the EDHEC Risk and Asset Management Research Centre (EDHEC-Risk) released a report on the early lessons from the Amaranth debacle....
2006
Author(s) : Barry Feldman
The underlying sources of return include the potential return due to backwardation. The extent of backwardation existing in various commodities...
2006
Author(s) : Hilary Till
The underlying sources of return include the potential return due to backwardation. The extent of backwardation existing in various commodities...
2006
Author(s) : Simeon Djankov
Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on...
2006
Author(s) : Rafael La Porta
Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on...
2006
Author(s) : Florencio Lopez-de-Silanes
Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on...
2006
Author(s) : Andrei Shleifer
Assembled with the help of Lex Mundi law firms, the index is calculated for 72 countries based on legal rules prevailing in 2003, and focuses on...
2006
Author(s) : Devraj Basu
These errors are likely to cause significant mis-pricing in the short run, and the subsequent reversion of prices to their fundamental level...
2006
Author(s) : Devraj Basu
These errors are likely to cause significant mis-pricing in the short run, and the subsequent reversion of prices to their fundamental level...
2006
Author(s) :
These errors are likely to cause significant mis-pricing in the short run, and the subsequent reversion of prices to their fundamental level...
2006

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