Risk premia investment strategies, along with other alternative strategies, have gained popularity recently, even though they don’t outperform stock picking. A detailed report from Societe Generale quants gives an in-depth explanation on …
Unigestion has posted a research paper by Olivier Blin, Joan Lee, and Jérôme Teiletche, on “some of the practical considerations that should help investors get the most out of their allocation to” alternative risk premia (ARP) …
I didn't see any stutters, crashes, slow-downs, or performance problems of any kind while testing the device. The Premia runs the stock version of the Android 4.0 phone and contact applications. Pressing the phone button on the home …
Portfolios of currencies from past stock market winner countries offer higher risk premia than past stock market loser currency portfolios. This pattern is unrelated to the currencies’ forward discounts. While recently proposed asset-pricing …
While interest rates are an important consideration when making an allocation to an alternative manager, they are not enough to predict future relative performance vs a traditional stock / bond allocation. One key is to look at the level of …
Abstract: This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and …
The latest launch, which is called the Uncia Small Premia fund, is designed to operate with a long/short equity bias, which will capitalise on opportunities from across Europe. Stock selection for the France-domiciled, Ucits-compliant fund is …
In addition, by increasing demand in secondary markets, purchases by the Bank …
This paper proposes a new class of GARCH-jump in mean models to test the presence of time varying risk premia
School of Business & Economics, Wilfrid Laurier University, Waterloo, Ontario, Canada * Correspondence author, School of Business and Economics, Wilfrid Laurier University, Waterloo, Ontario, Canada N21 3C5; Department of Economics …