Working paper

Author(s) : Jaksa Cvitanic
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
Author(s) : Ali Lazrak
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
Author(s) : Lionel Martellini
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
Author(s) : 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
Author(s) : Noel Amenc
Using data from CSFB-Tremont hedge fund indices, we find that ex-post volatility of minimum variance portfolios generated using implicit factor based...
2003
Author(s) : 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
Author(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
Author(s) : Noel Amenc
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
Author(s) : 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
Author(s) : Octave Jokung
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
Author(s) : 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
Author(s) : Dries Darius, Aytac Ilhan, John Mulvey, Ronnie Sircar
We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve investor...
2002
Author(s) : 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
Author(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
Author(s) : Noel Amenc
The methodology is designed so as to be consistent not only with modern portfolio theory but also with constraints imposed by practical...
2002
Author(s) : Lionel Martellini
The methodology is designed so as to be consistent not only with modern portfolio theory but also with constraints imposed by practical...
2002
Author(s) : 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
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 be...
2001

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