Auteur(s) :
Daniel Capocci
,
Georges Hubner
Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we investigate hedge funds performance...
2003
Auteur(s) :
Noel Amenc
,
Robert Faff
,
Lionel Martellini
Given the proliferation of choice, a potentially serious problem is that existing style indexes can provide a somewhat confusing picture of the...
2003
Auteur(s) :
Jaksa Cvitanic
,
Ali Lazrak
,
Lionel Martellini
,
Fernando Zapatero
The only available answers to the above question are set in a static mean-variance framework, with no explicit accounting for uncertainty on the...
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
Using data from CSFB-Tremont hedge fund indices, we find that ex-post volatility of minimum variance portfolios generated using implicit factor based...
2003
Auteur(s) :
Georges Hubner
The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation of the ratio of abnormal excess return (...
2003
Auteur(s) :
REBONATO Ricardo
Ed. PRINCETON UNIVERSITY PRESS
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
The bottom-up approach is the older and the more traditional, focusing on individual stock picking. The top-down approach gives more importance to...
2002
Auteur(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 Model is greater than the one of the Market...
2002
Auteur(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 investor...
2002
Auteur(s) :
Hilary Till
This article will show how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading. It...
2002
Auteur(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 constraints imposed by practical...
2002
Auteur(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
Auteur(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 be...
2001

Auteur(s) :
Je télécharge le Position Paper intitulé « L’assurance locative pour réformer les contrats de travail » Je télécharge le...
2001
Auteur(s) :
D'HUY Pierre
,
AUCKENTHALER Brice
,
PIERENS P.
EDITIONS LIAISONS
1999

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