Technical paper/Beta
When betas meet the cross section: a hybrid risk model for equity portfolios
The authors propose an application of Kelly et al's 2018 model combining regression-based betas with cross-sectional and time series elements, enhancing precision, reducing data needs, and simplifying multiregional models while effectively optimizing…
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
Beta hedging: performance measures, momentum weighting and rebalancing effects
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
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.
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.
The beta stochastic volatility model
The beta stochastic volatility model
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Operational risk: a practitioner's view
The Basel Committee on Banking Supervision ("the Committee") released aconsultative document that included a regulatory capital charge for operationalrisk. Since the release of the document, the complexity of the concept of "operationalrisk" has led to…
Take the long and short route
Investment management