<t>The volatility of a portfolio of assets derived using the standard variance-covariance approach depends on three factors - the allocation to a particular asset (the more the allocation to a particular asset, the more it contributes), the volatility of the asset itself (the more the volatility, th...

<t>I am trying to find an utility function that best describes a graph which has risk on x-axis and costs on y-axis. This is for evaluating different rebalancing strategies. The most optimal rebalancing strategy will have lower risk and lower costs. The parameters that describe costs can be low, med...

Hi,Are there any good articles that talk about on how to select benchmarks for hedge funds? Thanks in advance,

Does it make sense for the TIPS (Treasury inflation protected securities) Index to be less price volatile than the Lehman Aggregate bond index in high inflation environments? Any comments would be highly appreciated. Thanks,

Are there any articles that correlate the relationship of stockholder returns (enterprise value) to revenue growth and / or return on capital? Very similar to the classic growth / value debate. The more quantitative, the longer the horizon, the better.Thanks in advance

<t>Is there any literature that discusses on benchmarking alternative strategies like hedgefunds, long-short equity funds, alpha transport strategies. Are there any effective performance measures that specifically help in evaluating these strategies?What are the advantages/disadvantages of using fac...

Are there are any tests of statistical significance of Sharpe ratios? (Like testing whether the difference between two Sharpe ratios is zero or not)? Thanks again,Sudhakar

Is there a way to determine the historical optimal slope of the maturity curve (like when does the slope reached its inflection point)Thanks,

Does anyone know where can I find the default rates for AAA-, AA-, and A-rated corporate bonds for 2002, 2003 and 2004 (if available)?Thanks in advance,

Does anyone has a soft copy of Fama's seminal article that they can share - Fama, E. [1970b] "Efficient capital markets: A review of theory and empirical work," Journal of Finance Thanks in advance,Sudhakar

Any ideas would be greatly appreciated...

<t>I have the following index retuns. The MSCI EAFE Index (includes only developed markets) returns start from around 1970. The MSCI Emerging markets index returns start from 1988. Hence, the MSCI All Country World Index (includes both developed markets and emerging markets) returns also start from ...

<t>I would think that a trading alpha is more volatile, more very short term focused, less repeatable, less explainable in investment terms (value expectations, etc.) and perhaps not even a transferable skill. If a portfolio manager is focused on trading, I question whether that pm can also structur...

Can anyone give some insights (in layman terms) in the attached paper:I am not looking for an opinion but am interested in a discussion of how this particular model fits in with others?Thanks

<t>Investment strategy vs. Trading strategyI am trying to understand between trading as a portfolio management strategy, and trading as part of executing a portfolio strategy.Taking the later first, the good old definitions of information-motivated traders (skilled ones), non-information motivated t...