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The recent collapse of the brilliant hedge fund, Long-Term Capital Management, has caused a lot of concern in the financial community. The quants are saddened by the limits of critical thinking and some of the non-quants are claiming that LTCM is just like the rest of them. This article...
Persistent link: https://www.econbiz.de/10012732445
The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a large-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 21, 2006, Amaranth had lost roughly...
Persistent link: https://www.econbiz.de/10012707735
The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a large-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 21, 2006, Amaranth had lost roughly...
Persistent link: https://www.econbiz.de/10012765761
The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a large-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 21, 2006, Amaranth had lost roughly...
Persistent link: https://www.econbiz.de/10012775750
Recent advances in online portfolio trading have brought investors much closer to achieving the frictionless paradigm often assumed in portfolio theory. However, taxes remain a significant barrier. We show that even a passive equity fund, like the Vanguard 500, has a significant drag on taxes,...
Persistent link: https://www.econbiz.de/10012776844
Increasingly, consultants for fund management firms care about the riskiness of fund managers’ investment strategies. Fund managers themselves must care about the riskiness of their investment strategies vis-a-vis the client’s specified benchmark
Persistent link: https://www.econbiz.de/10013288793
The capitalization-weighted S&P 500 is clearly a measure of the investment opportunity set of large-cap U.S. equity market. However, an equally weighted investment strategy might require that its performance be measured against an equally weighted index. The S&P Equal Weight Index (S&P EWI) will...
Persistent link: https://www.econbiz.de/10014254528
This is the technical appendix to the computer simulations in the American Economic Review publication by Julio Rotemberg and Michael Woodford, Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption, 1996
Persistent link: https://www.econbiz.de/10014053685
Persistent link: https://www.econbiz.de/10015117945