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Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
empirical alpha process portfolio hedging strategies active portfolio management market systemic risk swaption delegated portfo-lio management local time of alpha
2012/9/14
We present conditions under which positive alpha exists in the realm of active portfolio management– in contrast to the controversial result in (Jarrow, 2010, pg. 20) which implicates delegated portfo...
Operational risk in current assets investment decisions: Portfolio management approach in accounts receivable
accounts receivable trade credit management incremental analysis value based management portfolio analysis
2014/3/10
The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to the realization of this fundamental aim. Many of the current asset manageme...