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~institution:"National Bureau of Economic Research"
~person:"Pedersen, Lasse H."
~subject:"Börsenkurs"
~subject:"Portfolio selection"
~subject:"Wirtschaftswachstum"
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Pedersen, Lasse H.
Campbell, John Y.
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Mitchell, Olivia S.
23
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14
Lo, Andrew W.
13
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12
Shiller, Robert J.
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1
Embedded Leverage
Frazzini, Andrea
-
2012
lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low
risk
…, 6.3 for index options, and 2.5 for ETFs. We provide extensive
robustness
tests and discuss the broader implications of …
Persistent link: https://www.econbiz.de/10012460102
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2
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/10012462057
Saved in:
3
Dynamic Trading with Predictable Returns and Transaction Costs
Garleanu, Nicolae B.
-
2009
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/10012463444
Saved in:
4
Buffett's Alpha
Frazzini, Andrea
-
2013
more than 30 years, and Berkshire has a significant alpha to traditional
risk
factors. However, we find that the alpha …
Persistent link: https://www.econbiz.de/10012458981
Saved in:
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