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Duanmu, Jun; Malachov, Aleksej; McCumber, William - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2525-2558

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Alpha or Beta in the eye of the beholder : what drives hedge fund flows?

Agarwal, Vikas; Green, Tracy Clifton; Ren, H. - 2017 - [revised]

CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors … pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks …. We decompose performance into traditional and exotic risk components and find that while investors chase both components …

Persistent link: https://www.econbiz.de/10011615694

Machine learning risk models

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64

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Healthy ... distress ... default

Kakushadze, Zura - In: Journal of risk & control 6 (2019) 1, pp. 113-119

Persistent link: https://www.econbiz.de/10012237605

Notes on Fano ratio and portfolio optimization

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The total benefit of alternative assets to pension fund portfolios

Jackwerth, Jens Carsten; Slavutskaya, Anna - In: Journal of financial markets 31 (2016), pp. 25-42

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A comment on the estimation of the reliability of multidimensional marketing constructs : a store personality scale application

Moussa, Salim - In: Global business review 17 (2016) 5, pp. 1125-1144

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Fake alpha

Müller, Marcel; Rosenberger, Tobias; Uhrig-Homburg, … - 2017

factor investing on beyond-market-risk factors, Fake Alpha strategies based on factor investing look like skill from the …

Persistent link: https://www.econbiz.de/10011590851

How to combine a billion alphas

Kakushadze, Zura; Yu, Willie - In: The journal of asset management 18 (2017) 1, pp. 64-80

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Farm performance and management strategies

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