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Publikationen und Paper's

The Black-Litterman Approach: Original Model and Extensions

Attilio Meucci

Abstract:
We walk the reader through the Black-Litterman approach, providing all the proofs. We show how minor modifications of the original model greatly improve its range of applications. We discuss full generalizations of this and related models. MATLAB code is available through MATLAB Central.

Meucci, Attilio,The Black-Litterman Approach: Original Model and Extensions(August 1, 2008). Bloomberg Portfolio Research Paper No. 2008-01-CLASSROOM. Available at SSRN: http://ssrn.com/abstract=1117574

Link: Here

 

Alpha Generating Momentum Strategies

Gregor Daniel Obrecht

Abstract:
This thesis investigates price momentum of U.S. stocks in a large-cap dominated dataset from December 1985 to August 2006. It is shown that return continuation can be found among large-caps. The evaluated momentum strategies generate arbitrage profits in the overall sample period. In the CAPM and the Fama-French framework these momentum profits can not be explained - a statistically significant positive alpha remains. Even after transaction costs are taken into account, the arbitrage profits are still substantial. However, in the subperiod from September 2000 to August 2006 price momentum is not present. There is weak evidence that this is due to the general market environment during this subperiod.

Obrecht, Gregor Daniel,Alpha Generating Momentum Strategies(November 27, 2006). Available at SSRN: http://ssrn.com/abstract=1180660

Link: Here

 

We Don't Quite Know What We are Talking About When We Talk About Volatility

Daniel G. Goldstein & Nassim Nicholas Taleb

Abstract:
Finance professionals, who are regularly exposed to notions of volatility, seem to confuse mean absolute deviation with standard deviation, causing an underestimation of 25% with theoretical Gaussian variables. In some fat tailed markets the underestimation can be up to 90%. The mental substitution of the two measures is consequential for decision making and the perception of market variability.

Goldstein, Daniel G. and Taleb, Nassim Nicholas,We Don't Quite Know What We are Talking About When We Talk About Volatility(March 28, 2007). Journal of Portfolio Management, Vol. 33, No. 4, 2007. Available at SSRN: http://ssrn.com/abstract=970480

Link: Here

 

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