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~isPartOf:"NBER Working Paper"
~person:"Pedersen, Lasse Heje"
~subject:"Portfolio-Management"
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Embedded Leverage
Frazzini, Andrea
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2012
lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low
risk
…
Persistent link: https://www.econbiz.de/10013097662
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Betting Against Beta
Frazzini, Andrea
-
2010
of high-beta assets produces significant
risk
-adjusted returns. When funding constraints tighten, betas are compressed …
Persistent link: https://www.econbiz.de/10013135232
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Dynamic Trading with Predictable Returns and Transaction Costs
Garleanu, Nicolae
-
2010
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current...
Persistent link: https://www.econbiz.de/10013151649
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