Beta
Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
Time-varying beta and the global financial crisis: evidence from Chinese and Indian firms
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
Why investors need multiple betas
Segmented upside and downside betas can be used for better risk management
Systematic risk and yield premiums in the bond market
This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
JP Morgan expects dispersion of hedge fund returns to increase
Historical composite data unreliable for extrapolating returns
Beta often is a "meaningless concept"
When correlation is low, hedge fund investors are "simply wrong" to use beta
Investcorp: more institutions managing own hedge portfolios
But “cutting out the middleman” leaves room for co-investing
Dynamic factor modeling reveals hidden risks
Risk management must be folded into investment decision-making process
AQR puts academic theory into practice
Putting theory into practice
The beta stochastic volatility model
The beta stochastic volatility model
Alpha commodity indexes: a sustainable source of absolute returns?
The alpha trackers
Are alpha commodity index products sustainable?
The third generation
Institutional investors to favour more active, smart beta approach to commodities
Seeking performance while at the same time increasingly needing to control risk makes smart beta thematic index approaches such as low volatility, minimum variance and risk-weighted strategies increasingly appealing to institutional investors allocating…
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Citi reveals dedicated quant investment strategies group
The shake-up at Citi now incorporates a new group, which will specialise in providing indexes and strategies
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
Invesco Powershares launches low-volatility and high-beta S&P 500 ETFs
Invesco PowerShares has responded to investor requests for a different take on equity-based investments with low-volatility and high-beta index-based ETFs
Sigor plans new LDCE to capture operational risk losses since crisis
Working group is also considering raising betas in the Basel II standardised approach to encourage movement towards the AMA, but some say this is not the answer
Americas house of the year
House of the year, Americas
Structured products versus ETFs: Which is best?
Blurring the boundaries
Citi indexes offer low-cost forex exposure
Citi indexes offers low-cost forex exposure
FTSE launches index linked to developed market currencies
FTSE launches index linked to developed market currencies