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Research Papers

Papers

Are You Trying Too Hard? —

Wesley Gray

Does Complexity Imply Value? —

Wesley Gray, Jack Vogel and Yang Xu

The Statistics of Sharpe Ratios —

Andrew Lo

Using Maximum Drawdowns to Capture Tail Risk —

Wesley Gray and Jack Vogel

Asset and Factor Risk Budgeting: A Balanced Approach —

Adil Rengim Cetingoz & Olivier Gueant

Computation of the marginal contribution of Sharpe ratio and other performance ratios —

Eric Benhamou and Beatrice Guez

A new measure of risk using Fourier analysis —

Michael Grabinski & Galiya Klinkova

Marginal Sharpe Ratio —

Dragan Sestovic

Mean-Modified Value-at-Risk Optimisation With Hedge Funds —

Laurent Favre and José-Antonio Galeano

Authors

Andrea Frazzini

Tobias Moskowitz

Sources

Department of Mathematics —

Imperial College London

Journal of Risk and Financial Management —

MDPI

Journals —

International Journal of Finance, Insurance and Risk Management