We investigate the optimal stop-loss on the alpha investment for a portable alpha vehicle. The optimal stop-loss maximizes investors utility of wealth for a portfolio consisting of a portable alpha fund and risk-free assets. We model the dynamics of the assets as a combination of a normal era...

We discuss the Taylor rule near low inflation and interest rates. Using an additional option like term in the loss function, our approach extends the simple Taylor rule to one with an asymmetric response near very low inflation rates. Once calibrated, this payoff profile gives an exact, and...