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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

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

Liquidity and Risk Management

Garleanu, Nicolae B. - 2007

This paper provides a model of the interaction between risk-management practices and market liquidity. On one hand …, tighter risk management reduces the maximum position an institution can take, thus the amount of liquidity it can offer to the … market. On the other hand, risk managers can take into account that lower liquidity amplifies the effective risk of a …

Persistent link: https://www.econbiz.de/10012465769

Efficiently Inefficient Markets for Assets and Asset Management

Gârleanu, Nicolae B. - 2015

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

Persistent link: https://www.econbiz.de/10012457106

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

Principal Portfolios

Kelly, Bryan T. - 2020

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own-signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Persistent link: https://www.econbiz.de/10012481583

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