Auteur(s) :
John M. Mulvey
,
Shiv Siddhant N. Kaul
,
Koray D. Simsek
We analyze the Mt. Lucas Index across different historical periods, evaluating its performance within a multi-period asset allocation...
2003
Auteur(s) :
John M. Mulvey
,
Shiv Siddhant N. Kaul
,
Koray D. Simsek
We analyze the Mt. Lucas Index across different historical periods, evaluating its performance within a multi-period asset allocation...
2003
Auteur(s) :
Jean-Christophe Meyfredi
Whether it involves credit risk, market risk or operational risk, banks aim to reduce the consequences of...
2003
Auteur(s) :
Jean-Christophe Meyfredi
Whether it involves credit risk, market risk or operational risk, banks aim to reduce the consequences of...
2003
Auteur(s) :
Hilary Till
This article received research support from the Foundation for Managed Derivatives Research. She would like...
2003
Auteur(s) :
Hilary Till
This article received research support from the Foundation for Managed Derivatives Research. She would like...
2003
Auteur(s) :
D'HUY Pierre
,
AUCKENTHALER Brice
EDITIONS LIAISONS
2003
Auteur(s) :
Lionel Martellini
,
Branko Urosevic
Such a lack of consistency can, potentially, distort empirical results. A related, yet mostly overlooked,...
2003
Auteur(s) :
Lionel Martellini
,
Branko Urosevic
Such a lack of consistency can, potentially, distort empirical results. A related, yet mostly overlooked,...
2003
Auteur(s) :
Lionel Martellini
,
Daphne Sfeir

2003
Auteur(s) :
Lionel Martellini
,
Daphne Sfeir

2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
This paper is an attempt to provide a unified picture of hedge fund managers' ability to generate...
2003
Auteur(s) :
Noel Amenc
,
Lionel Martellini
This paper is an attempt to provide a unified picture of hedge fund managers' ability to generate...
2003
Auteur(s) :
Noel Amenc
,
Philippe Malaise
,
Lionel Martellini
,
Daphne Sfeir
In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at...
2003
Auteur(s) :
Noel Amenc
,
Philippe Malaise
,
Lionel Martellini
,
Daphne Sfeir
In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at...
2003
Auteur(s) :
Daniel Capocci
,
Georges Hubner
Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we...
2003
Auteur(s) :
Daniel Capocci
,
Georges Hubner
Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we...
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...
2003

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