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May 10

Forecast Expected Return Week in Review

Posted by abiao at 19:49 | Paper Review | Comments(2) | Reads(7056)
Alpha Generation and Risk Smoothing using Volatility of Volatility: We put forward a framework that produces a formulain which returns become a function of volatility and therefore become somewhat morepredictable. We show that this strategy produces excess returns giving us the upside of leverage without the downside.

The Cross Section of Expected Returns with MIDAS Betas: This paper employs mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors. We show that beta estimates under MIDAS present lower mean absolute forecasting errors and generate a better out-of-sample performance of the optimized portfolios relative to OLS betas.

Online resources for handling big data and parallel computing in R: links to online documents and slides on handling big data and parallel computing in R.

The Worlds Richest Hedge Fund Managers Exposed: how much do the Worlds richest hedge fund managers make?

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