Alpha Transport With Derivatives - Derivatives can be used to transport the alpha from a manager's selection of securities to virtually any desired asset class benchmark. The authors demonstrate that, by liberating the security selection return from the asset class return, alpha transport allows investors to find the best opportunities in both asset allocation and security selection. They also ...
Year of publication: |
1999
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Authors: | Jacobs, Bruce I. ; Levy, Kenneth N. |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - 1999, SPECI, p. 55-60
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