momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in …

-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the …, but diversified. Our result shows that preference free valuation of option portfolios using linear assets only is … systematic risk factors. For portfolios of finite size, the optimal hedge strategy makes a trade-off between hedging linear …

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …