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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
of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed …
Persistent link: https://www.econbiz.de/10012462057
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
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