Sharpe ratio
Diffusing explosive portfolio performance evaluation of high frequency traders
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
Stop-outs under serial correlation and the triple penance rule
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Risk–return-efficient target-volatility strategies
Volume 3, Issue 3 (2014)
Camomille: most money made on the recovery
'Madness of crowds' psychology governs investment policy
Non-linear momentum strategies
Non-linear momentum strategies
Momentum trading: ’skews me
Momentum trading: ’skews me
Indexes of indexes can deliver lower volatility and increased exposure, say providers
An index based on other indexes can offer institutional investors sophisticated strategies and retail investors easier access to capital-protected products in difficult structuring conditions, say index firms
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies