Working paper

Author(s) : Daniel Mantilla-Garcia
This paper introduces variations of the strategy, namely the excess drawdown and the relative drawdown control strategies. The excess drawdown...
2014
Author(s) : Maxime Bonelli
The implications of the modified system are consistent with well established empirical facts of stock returns, in particular, the simpler version of...
2014
Author(s) : Daniel Mantilla-Garcia
The implications of the modified system are consistent with well established empirical facts of stock returns, in particular, the simpler version of...
2014
Author(s) : Michael Edesess, PhD
CAT bonds are issued by a reinsurer for indemnification against tail risks of a major disaster such as a hurricane, earthquake, or pandemic. The...
2014
Author(s) : Maxime Bonelli, Inria Sophia
The question is addressed in the context of an investor maximising the long-term growth rate of wealth under a maximum drawdown constraint, and...
2014
Author(s) : Daniel Mantilla-Garcia
The question is addressed in the context of an investor maximising the long-term growth rate of wealth under a maximum drawdown constraint, and...
2014
Author(s) : Hilary Till
By backwardation, one means that a near-month futures contract trades at a premium to deferred-delivery futures contracts. For example, Litzenberger...
2014
Author(s) : Hilary Till
This presentation, in turn, was excerpted from a full-day seminar given by the author to representatives of the China Foreign Exchange Trade System,...
2014
Author(s) : Serge Darolles
We then propose to leverage on this factor to identify fund of hedge fund managers who turn out to be good at capturing the upside while controlling...
2014
Author(s) : Mathieu Vaissie
We then propose to leverage on this factor to identify fund of hedge fund managers who turn out to be good at capturing the upside while controlling...
2014
Author(s) : Adrian Fernadez-Perez
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Adrian Fernadez-Perez
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) :
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) :
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Ana-Maria Fuertes
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Ana-Maria Fuertes
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Joelle Miffre
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Joelle Miffre
Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and...
2014
Author(s) : Yuliya Plyakha
To answer this question we first show that, with monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of...
2014

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