[BOOK][B] Portfolio theory and performance analysis

N Amenc, V Le Sourd - 2005 - books.google.com
… This movement has also affected Europe, where the regional players are reacting to the
arrival of major North American distribution centres, with the latter intending to profit from the …

Predictability in hedge fund returns (corrected)

N Amenc, S El Bied, L Martellini - Financial Analysts Journal, 2003 - Taylor & Francis
A significant amount of research has been devoted to the predictability of traditional asset
classes, but little is known about the predictability of returns emanating from alternative …

[PDF][PDF] Choose your betas: Benchmarking alternative equity index strategies

N Amenc, F Goltz, A Lodh - The Journal of Portfolio Management, 2012 - hillsdaleinv.com
… are proportional to the median downside risk of the risk group a stock belongs to (see Amenc
… We set the lower bound for the effective number of stocks at a level of at least N/3, where N

Portfolio optimization and hedge fund style allocation decisions

N Amenc, L Martellini - Available at SSRN 305006, 2002 - papers.ssrn.com
… where T is the sample size, ht is a N £ 1 vector of hedge fund returns in period t, N is the
number of assets in the portfolio, and h is the … If the number of assets in the portfolio is N, there …

Benefits and risks of alternative investment strategies

N Amenc, L Martellini, M Vaissié - Journal of Asset Management, 2003 - Springer
… where n is the number of standard deviations at (1 … The consequence is therefore a slight
improvement (shift towards the north-west) in the efficient frontier. This does not, however, …

[PDF][PDF] Efficient indexation: An alternative to cap-weighted indices

N Amenc, F Goltz, L Martellini, P Retkowsky - Journal of Investment …, 2011 - joim.com
… In addition, we impose weight constraints that depend on the number of constituents (N)
in the index. We impose an upper bound of λ/N and a lower bound of 1/(λN), where λ is a …

Smart Beta 2.0

N Amenc, F Goltz - The Journal of Index Investing, 2013 - pm-research.com
Alternative equity indexes are likely to outperform traditional cap-weighted indexes over the
long term, research results show that such smart beta strategies are exposed to several …

[PDF][PDF] Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance

N Amenc, F Goltz, A Lodh, L Martellini - The Journal of Portfolio …, 2012 - academia.edu
… In the empirical exercises that follow, we set an upper bound of λ/N and a lower bound of
1/λN for all stock weights to ensure that all constituents are represented without an extreme …

Passive hedge fund replication–Beyond the linear case

N Amenc, L Martellini, JC Meyfredi… - European Financial …, 2010 - Wiley Online Library
In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample
performance of various non‐linear and conditional hedge fund replication models. We find that …

Inflation-hedging properties of real assets and implications for asset–liability management decisions

N Amenc, L Martellini… - The Journal of Portfolio …, 2009 - jpm.pm-research.com
… t represents a n × 1 vector of endogenous variables, c is a vector of constants, G i are n ×
n coefficient matrices and u t is the innovation process. The reduced rank matrix ? can be …