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An alternative representation of noncentral beta and F distributions
Statistical Papers, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pe, Than, Drygas, Hilmar
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Here in the Real World: The Performance of Alternative Beta
Journal of Systematic Investing, 2020We examine the realized performance of alternative beta strategies using a database of returns since 2008. Despite diversified portfolios of risk premia strategies offered by global investment banks achieving satisfactory Sharpe ratios of 0.80–1.07 during the decade to 2017, up to two thirds of the performance can be explained by exposure to ...
Antti Suhonen, Matthias Lennkh
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Factor Exposure of Alternative Beta Strategiesacross Market Regimes
The Journal of Index Investing, 2016The authors study the time-dependent relationship between alternative beta strategies and the Fama–French factors. It is widely believed that the excess performance of alternative beta strategies can be explained by their exposure to well-known pricing factors, such as size and value. Nevertheless, there is still a limited understanding of the dynamics
Carmine De Franco +2 more
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Are there Practical Alternatives to Alpha-Beta?
ICGA Journal, 1998The success of the alpha-beta algorithm in game playing has shown its value for problem solving in artificial intelligence, especially in the domain of two-person zero-sum games with perfect information. Still, there are different algorithms for game-tree search which challenge the value of the alpha-beta algorithm.
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Alternative Beta: Point of Reference - Does it Matter?
SSRN Electronic Journal, 2012Despite the fact that within the indexing space relative risk characteristics such as tracking error or beta are in theory of little relevance – each index is a passive beta source in its own right – comparing these risk measures may nonetheless prove insightful. Crucially however, the conclusions one can draw from such a relative analysis are strongly
Daniel Leveau +2 more
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ALTERNATIVE TESTS OF THE ZERO‐BETA CAPM
Journal of Financial Research, 2000AbstractIn this paper I develop an analytical Wald test of the zero‐beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation and conditional heteroskedasticity.
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An alternative perspective on the relationship between downside beta and CAPM beta
Emerging Markets Review, 2007Abstract In this paper we derive relationships between the CAPM beta and three measures of downside risk discussed in the literature. The relationships are derived assuming data generating processes in the mean-variance and mean-semivariance frameworks.
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Alternative to beta coefficients in the context of diffusions
Quantitative Finance, 2016We develop an alternative to the beta coefficient of the CAPM theory. We show the link between this notion and the Wiener chaos expansion of the underlying processes. In the setting of Markov diffusions, we define the drift-neutral beta, which is the quantity of benchmark such that the resulting portfolio is immune to an infinitesimal change of drift ...
BERNIS G, SCOTTI S
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Beta-Helix to Beta-Sheet conversion in D,L-alternating oligopeptides
2023The rationalization of chemical and biological molecular recognition phenomena frequently relies on our understanding of weak noncovalent interactions, their magnitude, and their cooperative interplay. Quantitative analysis of individual binding contributions is problematic because individual interactions are seldom viewed in isolation but frequently ...
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Practical Applications of How Different Are Alternative Beta Strategies?
Practical Applications, 2016Alternative beta equity strategies can offer reduced risk and enhanced investment returns compared with the overall market; however, no single strategy, or type of strategy, is proven to outperform in all market conditions. How does an investor choosing among the individual alternative beta strategies and their combinations to best capture the ...
Carmine de Franco +3 more
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