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Improving Portfolio Selection Using Option-Implied Volatility and Skewness

DeMiguel, Victor; Plyakha, Yuliya; Uppal, Raman; … - C.E.P.R. Discussion Papers - 2010

Our objective in this paper is to examine whether one can use option-implied information to improve mean …-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful … portfolio variance, Sharpe ratio, and certainty-equivalent return, exploiting information about expected returns that is …

Persistent link: https://www.econbiz.de/10008530360

Performance Maximization of Actively Managed Funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - C.E.P.R. Discussion Papers - 2010

Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10008468707

Investor Interest and Hedge Fund Returns

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

information in investor demand co-exists with the presence of capacity constraints in hedge fund returns, confirming two main …

Persistent link: https://www.econbiz.de/10008692307

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2014

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such...

Persistent link: https://www.econbiz.de/10011083511

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - C.E.P.R. Discussion Papers - 2003

Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk measure with an endogenous or exogenous benchmark. If the...

Persistent link: https://www.econbiz.de/10005136483

The Euro and International Capital Markets

Detken, Carsten; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000

This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the Euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...

Persistent link: https://www.econbiz.de/10005123910

Which Investors Fear Expropriation? Evidence from Investors' Stock Picking

Giannetti, Mariassunta; Simonov, Andrei - C.E.P.R. Discussion Papers - 2003

private benefits or access private information and investors who enjoy only security benefits in order to understand portfolio …

Persistent link: https://www.econbiz.de/10005114455

Informational Overshooting, Booms and Crashes

Zeira, Joseph - C.E.P.R. Discussion Papers - 1993

This paper offers an informational explanation for asset price booms and crashes. If market fundamentals change, but the length of this process of change is unknown, market participants try to learn about it by observing market outcomes. This learning generates a boom and a crash, which we call...

Persistent link: https://www.econbiz.de/10005504406

Global versus Local Competition

Legros, Patrick; Stahl, Konrad - C.E.P.R. Discussion Papers - 2002

We analyse the impact of increased outside opportunities brought to consumers by access to a global market on local market performance under monopoly versus oligopoly. If consumers have to choose once where to shop we show that under all forms of organizing the local market, increased...

Persistent link: https://www.econbiz.de/10005498025