The derivation of the bivariate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. […]
What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds? Logged-in members can download the article by clicking the link below. To log in or register […]
A well-known pitfall of Markowitz (1952) portfolio optimization is that the sample covariance matrix, which is a critical input, is very erroneous when there are many assets to choose from. If unchecked, this phenomenon skews […]
In the next three columns how great investors do it will be under discussion. Definitely an enormous topic, but we will conclude that principles and results will apply reasonably broadly. Logged-in members can download the […]
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett. Logged-in members can download the article by clicking the link below. To log in or register visit here.