2 papers
q-fin.PM2015
Why Indexing Works
J. B. Heaton, N. G. Polson, J. H. Witte
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that th…
q-fin.TR2015
Volatility Harvesting: Extracting Return from Randomness
Jan Hendrik Witte
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the…