Working paper

Author(s) : Jodie Gunzberg
Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we...
2005
Author(s) : Walter Briec
A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed...
2005
Author(s) : Kristiaan Kersten
A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed...
2005
Author(s) : Octave Jokung
A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed...
2005
Author(s) : Rudy Sillam
Modestly entitled the capacity effect, the analysis of the reasons behind the fairly disappointing performance in 2004 constitutes, if we believe...
2005
Author(s) : Lionel Martellini
Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return....
2005
Author(s) : Branko Uroevic
Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return....
2005
Author(s) : Daniel Capocci
We start by analysing this neutrality using various market neutral indices before focusing on individual fund returns. Finally, an analysis based on...
2005
Author(s) : Noel Amenc
Using active bond portfolio management as an example, we present evidence that derivatives can be used by managers not only to generate and deliver...
2005
Author(s) : Philippe Malaise
Using active bond portfolio management as an example, we present evidence that derivatives can be used by managers not only to generate and deliver...
2005
Author(s) : Lionel Martellini
Using active bond portfolio management as an example, we present evidence that derivatives can be used by managers not only to generate and deliver...
2005
Author(s) : Francois-Serge Lhabitant
Most of these problems can be avoided by using an adequate compensation theme. While the academic literature tends to be somewhat inconclusive as to...
2005
Author(s) : John M. Mulvey
Pension planning in the United States has gained importance with the population aging and the growth of retirement accounts. In certain cases, the...
2005
Author(s) : Bill Pauling
Pension planning in the United States has gained importance with the population aging and the growth of retirement accounts. In certain cases, the...
2005
Author(s) : Koray D. Simsek
Pension planning in the United States has gained importance with the population aging and the growth of retirement accounts. In certain cases, the...
2005
Author(s) : Jean-Christophe Meyfredi
Most of the time some strong assumptions are made to simplify the estimation process and there has to be a trade-off between ease of estimate and...
2005
Author(s) : Noel Amenc
These derivatives instruments can be used in the context of completeness portfolios that are designed not to interfere with the original portfolio...
2004
Author(s) : Philippe Malaise
These derivatives instruments can be used in the context of completeness portfolios that are designed not to interfere with the original portfolio...
2004
Author(s) : Lionel Martellini
These derivatives instruments can be used in the context of completeness portfolios that are designed not to interfere with the original portfolio...
2004
Author(s) : Daphne Sfeir
These derivatives instruments can be used in the context of completeness portfolios that are designed not to interfere with the original portfolio...
2004

Pages