Third Quarter (2011)

Mark B. Wise, Yonathan Schwarzkopf and Vineer Bhansali Volume 9, Number 3, Third Quarter 2011 We investigate the optimal stop-loss on the alpha investment for a portable alpha vehicle. The optimal stop-loss maximizes investors utility of wealth for a portfolio consisting of a portable alpha fund and risk free assets. We model the dynamics of… Read more

Antony E. Ghee Volume 9, Number 3, Third Quarter 2011 After years of debating whether additional regulation should be imposed on hedge funds, legislative initiatives, such as the Dodd-Frank Act, have recently been enacted and could significantly alter the scope of government oversight in an industry that has, until recently, been subject to little regulatory… Read more

James A. Bennett and Richard W. Sias Volume 9, Number 3, Third Quarter 2011 Contrary to conventional wisdom, there is no evidence investors can, or have ever been able to, easily form portfolios containing negligible exposure to unsystematic returns. Because well-diversified portfolios are the bedrock upon which so much financial theory is built, investors’ inability… Read more

George Athanassakos Volume 9, Number 3, Third Quarter 2011 Using AMEX, NASDAQ and NYSE stock market data for the period 1985-2006, this paper sheds further light into the value premium and the discussion of whether the value premium is driven by risk or behavioral factors. The paper utilizes a more comprehensive set of data and… Read more