Portable Alpha and Portable Beta Strategies in the eurozone: Implementing Active Asset Allocation Decisions using Equity Index Options and Futures

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir.

Author(s):

Noel Amenc

Professor of Finance, EDHEC Graduate School of Business

Philippe Malaise

Professor of Finance, EDHEC Graduate School of Business

Lionel Martellini, PhD

Professor of Finance, EDHEC Graduate School of Business

Daphne Sfeir, PhD

Research Engineer, EDHEC Risk and Asset Management Research Center

Type: Working paper
Date: le 01/10/2003
Research Cluster : Finance

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