We study a concept of dynamic leverage which is a risk measure generalizing traditional value at risk type measures. This measure is suited for hedge funds and can be applied to quantify risk in a fund of hedge funds. Dynamic leverage depends on the level of fund volatility, time horizon and...

Consistent with a costly arbitrage equilibrium in which arbitrage costs insulate mispricing, this study finds that mutual fund managers have stock-picking ability for stocks with high idiosyncratic volatility but not for stocks with low idiosyncratic volatility. These findings suggest that fund...

VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...

We analyze the Sharpe ratio and 14 alternative reward-to-risk ratios. Every alternative ratio leads to the same ranking of investment funds as the Sharpe ratio if the funds' return distributions satisfy the location and scale condition (see Meyer, 1987). It then makes no difference whether funds...

We document a large and heterogeneous shift by public pensions into alternative investments (hedge funds, private equity, and real estate) since 2006. Interpreting the data through the lens of the two-fund separation theorem we find that pensions' attitude towards taking risk cannot account for...

Evaluating the performance of Alternative Risk Premia products as standalone investments is not sufficient to conclude whether these products add value to institutional investors, whose portfolios are largely composed of well-diversified equity and bond allocations, and usually smaller ones to...

Alternative Risk Premia investment products have attracted substantial interest of institutional investors in the recent decade, as they are supposed to provide risk premia other than traditional equity and bond premia in which investors already have exposure to. This article reviews the...

This study aims at analyzing the ability of managers of Alternative Risk Premia (ARP) portfolios to outperform benchmarks and to deliver alphas. Using a sample of more than 200 ARP indices, we first distinguish performance between allocation strategy and picking ability. Our first results show...

Robot investment assistants (RIAs), equipped at various investment platforms, are designed to help individual investors with investment decisions by providing information and advices. Using account level data between 2020 and 2021 from the largest investment platform in China, we examine the...