| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7676 |
| DP7676 Performance Maximization of Actively Managed Funds | |
| Gur Huberman; Paolo Guasoni; Zhenyu Wang | |
| 发表日期 | 2010-02-07 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Ratios that indicate the statistical significance of a fund?s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance performance ratios. This paper derives the performance maximizing strategy - a variant of buy-write - and the least upper bound on such performance enhancement, thereby showing that if common equity indexes are used as benchmarks, the potential performance enhancement from trading frequently is usually negligible. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the volatilities of the benchmark returns. |
| 主题 | Financial Economics |
| 关键词 | Alpha Hedge funds Mutual funds Options Portfolio management |
| URL | https://cepr.org/publications/dp7676 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536513 |
| 推荐引用方式 GB/T 7714 | Gur Huberman,Paolo Guasoni,Zhenyu Wang. DP7676 Performance Maximization of Actively Managed Funds. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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