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Sharpening the arithmetic of active management
Pedersen, Lasse Heje - In: Financial analysts' journal : FAJ 74 (2018) 1, pp. 21-36
Persistent link: https://www.econbiz.de/10011879185
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Leverage aversion and risk parity
Asness, Clifford S.; Frazzini, Andrea; Pedersen, Lasse Heje - In: Financial analysts' journal : FAJ 68 (2012) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10009558184
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Low-risk investing without industry bets
Asness, Cliff; Frazzini, Andrea; Pedersen, Lasse Heje - In: Financial analysts' journal : FAJ 70 (2014) 4, pp. 24-41
Persistent link: https://www.econbiz.de/10010408345
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Which trend is your friend?
Levine, Ari; Pedersen, Lasse Heje - In: Financial analysts' journal : FAJ 72 (2016) 3, pp. 51-66
Persistent link: https://www.econbiz.de/10011688072
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Buffet's alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - In: Financial analysts' journal : FAJ 74 (2018) 4, pp. 35-55
Persistent link: https://www.econbiz.de/10011972780
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RISK MEASUREMENT AND MANAGEMENT - Liquidation Risk - What is the impact on key risk measures of spreads that are likely to widen just when positions must be liquidated to maintain...
Duffie, Darrell; Ziegler, Alexandre - In: Financial analysts' journal : FAJ 59 (2003) 3, pp. 42-51
Persistent link: https://www.econbiz.de/10006255195
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VALUATION - Floating-Fixed Credit Spreads - Yield spreads between floating-rate and fixed-rate notes of the same credit quality are modeled.
Duffie, Darrell; Liu, Jun - In: Financial analysts' journal : FAJ 57 (2001) 3, pp. 76-87
Persistent link: https://www.econbiz.de/10006275880
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VALUATION - Risk and Valuation of Collateralized Debt Obligations - An approach is offered to analyzing the risk and market valuation of collateralized debt obligations.
Duffie, Darrell; Gárleanu, Nicolae - In: Financial analysts' journal : FAJ 57 (2001) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10006279386
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VALUATION - Credit Swap Valuation - The pricing of credit swaps, derivatives that act as default insurance on loans or bonds, is reviewed
Duffie, Darrell - In: Financial analysts' journal : FAJ 55 (1999) 1, pp. 73-87
Persistent link: https://www.econbiz.de/10006300458