Concept
Alpha (finance)
Related publications (9)
International Portfolio Choice with Frictions: Evidence from Mutual Funds
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
OXFORD UNIV PRESS INC2023Long-lived coupled peeling ballooning modes preceding ELMs on JET
Olivier Sauter, Ambrogio Fasoli, Basil Duval, Stefano Coda, Jonathan Graves, Yves Martin, Duccio Testa, Patrick Blanchard, Alessandro Pau, Cristian Sommariva, Henri Weisen, Richard Pitts, Yann Camenen, Jan Horacek, Javier García Hernández, Marco Wischmeier, Nicola Vianello, Mikhail Maslov, Federico Nespoli, Yao Zhou, David Pfefferlé, Davide Galassi, Antonio José Pereira de Figueiredo, Jonathan Marc Philippe Faustin, Liang Yao, Dalziel Joseph Wilson, Hamish William Patten, Samuel Lanthaler, Bernhard Sieglin, Otto Asunta
In some JET discharges, type-I edge localised modes (ELMs) are preceded by a class of low-frequency oscillations (Perez et al 2004 Nucl. Fusion 44 609). While in many cases the ELM is triggered during the growth phase of this oscillation, it is also observ ...
2019Investment Dynamics with Natural Expectations
We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are ...
2018Hedge or Rebalance: Optimal Risk Management with Transaction Costs
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...
2018The Swaption Cube
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
Oxford Univ Press Inc2014Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...
University of Chicago Press2012Founder-CEOs, investment decisions, and stock market performance
Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms with respect to firm valuation, investment behavior, and stock market performance. Founder-CEO firm ...
Cambridge University Press2009Prices and portfolio choices in financial markets: Theory, econometrics, experiments
Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobse ...
2007Excess Asset Returns and Limited Enforcement
This paper investigates the effect of limited enforcement of contracts on asset returns in a three-period pure- exchange overlapping generations economy. We consider a life-cycle setting with a safe and a risky asset and find that lack of commitment can si ...
American Economic Association2002