Author(s) :
Octave Jokung
,
Jean-Christophe Meyfredi
Using daily returns from the CAC 40 Index's assets, we find that the explanatory power of the 4-State...
2002
Author(s) :
Octave Jokung
,
Jean-Christophe Meyfredi
Using daily returns from the CAC 40 Index's assets, we find that the explanatory power of the 4-State...
2002
Author(s) :
Noel Amenc
,
Lionel Martellini
The bottom-up approach is the older and the more traditional, focusing on individual stock picking. The top-...
2002
Author(s) :
Noel Amenc
,
Lionel Martellini
The bottom-up approach is the older and the more traditional, focusing on individual stock picking. The top-...
2002
Author(s) :
Dries Darius, Aytac Ilhan, John Mulvey, Ronnie Sircar
,
Koray D. Simsek,
We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve...
2002
Author(s) :
Dries Darius, Aytac Ilhan, John Mulvey, Ronnie Sircar
,
Koray D. Simsek,
We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve...
2002
Author(s) :
Hilary Till
This article will show how to apply methodologies derived from both conventional asset management and hedge...
2002
Author(s) :
Hilary Till
This article will show how to apply methodologies derived from both conventional asset management and hedge...
2002
Author(s) :
Noel Amenc
,
Lionel Martellini
,
Daphne Sfeir
The methodology is designed so as to be consistent not only with modern portfolio theory but also with...
2002
Author(s) :
Noel Amenc
,
Lionel Martellini
,
Daphne Sfeir
The methodology is designed so as to be consistent not only with modern portfolio theory but also with...
2002
Author(s) :
Hilary Till
In this column, after reviewing these difficulties, I will discuss the current state-of-the-art methodology in this area. This subject is a very...
2001
Author(s) :
Hilary Till
But what if that CTA's Sharpe ratio was also .19? (This is a real example.) For futures programs, the meaning of rate-of-return numbers can...
2001
Author(s) :
Hilary Till
But what if that CTA's Sharpe ratio was also .19? (This is a real example.) For futures programs, the meaning of rate-of-return numbers can...
2001
Author(s) :
D'HUY Pierre
,
AUCKENTHALER Brice
,
PIERENS P.
EDITIONS LIAISONS
1999

Pages

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