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Abstract The purpose of the paper is to develop the concept of portfolio insurance against active managers' stock selection risks. The insurance premium is estimated through the use of exotic options and the impact on investors' utility is analysed within a multi-moment efficient frontier...
Abstract We prove that an active manager can almost always obtain a positive alpha without having any market-timing or stock-picking ability by exploiting benchmark inefficiency. This suggests that rank ordering portfolio performance against a peer group following the same benchmark is...
Abstract This study examines the relation between spot and futures prices in the crude oil market since the inception of the commodity exchange-traded fund (ETF), the United States Oil Fund (USOF), in an attempt to identify the usefulness of the USOF as a hedging vehicle. We also investigate...
Abstract While recent studies have concentrated on why value stocks outperform growth stocks, this paper investigates whether these strategies are sensitive to earnings growth level. Empirical tests are conducted based on returns strategy and asset pricing analysis. Controlling for Fama and...
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