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...

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...

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...

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...

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,...

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

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...

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