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Abstract Market participants have a natural timescale, and they only seek to profit from money-making ideas that have a chance of maturing on a similar timescale to that over which they are measured. Due to the increasingly short-term nature of fund management mandates, opportunities have arisen...
Abstract As in any alpha strategy, a manager confronts the estimation risk of alpha. The alpha uncertainty may result in unstable active portfolios whose weights are sensitive to small changes in the estimates of alpha. This paper develops an integrated Bayesian framework to account for alpha...
Abstract The benchmark investment strategy of a pension fund typically consists of a number of benchmark categories, each of which is assigned a weight in the overall investment budget. In this paper we assume that the benchmark strategy is given, and determine a model for its optimal active...
Abstract Country selection strategies based on an individual fundamental (momentum) variable result in significant (nonsignificant) market risk-adjusted returns over the January 1988–July 2005 period. The marginal contribution of a single fundamental-oriented (momentum-oriented) variable to a...
Abstract Convex quadratic programming (QP) as applied to portfolio planning is established and well understood. In this paper, presented in two parts, we highlight the importance of choosing an algorithm that processes a family of problems efficiently. In Part I in particular we describe an...
Abstract This paper examines the current concerns over the systemic risk posed by the fast-expanding private equity funds. Such worries appear to emerge as a consequence of controversies generated by private equity and hedge funds over their lack of transparency in asset valuations and use of...
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