Browsing: alpha theory

Posts Tagged ‘ alpha theory ’

Keynes vs. Markowitz ‘Thrilla in Portfolia’

Nov 19th, 2020 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Risk Management Strategies & Processes, Hedge Funds, Finance & Economics

By Hossein Kazemi, PhD, CFA, CAIA Association, FDP Institute, and Isenberg School of Management Introduction While Keynes vs. Markowitz is not as thrilling as Ali vs. Frazier, it has important implications for investors when selecting funds and investment managers when constructing portfolios.  In this “fight,” we have in one cornerRead More


Active Risk Budgeting Gets Consistent Alpha

Jul 28th, 2019 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Risk Metrics and Measurement, The A.I. Industry, Risk Management Strategies & Processes, Risk Management & Operations, Finance & Economics

A new paper takes an experimental look at “Active Risk Budgeting,” a method of portfolio construction that looks to build upon older and sometimes passive risk budgeting approaches, adding enough active management to allow the risk budget to change over time. For example, an institution might want its risk budgetRead More


What is Behind the Momentum Factor? Informed Trades?

Aug 5th, 2018 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Finance & Economics

A new paper by four U.S. scholars makes a contribution to the literature on factors and the modeling of stock prices. The paper, “An Information Factor,” proposes in essence that the momentum factor isn’t what it seems to be. Ever since the publication of a 1993 paper by Jegadeesh andRead More