4 citations · 5 across the 8 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
q-fin.PM2012
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
G. Charles-Cadogan
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 implicat…
q-fin.RM2012★ 4 cited
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
Godfrey Charles-Cadogan
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe…