The purpose of this study is to extend the analysis of estimation of the term structure. The
ability of the exponential/polynomial present-value function of equation (5) to approximate the …

In perfect capital markets, financial decisions such as reverse splits, which do not change
the risk position or earning power of a firm, have no effect on shareholder wealth. However, …

Dissatisfaction occasionally has been expressed with traditional measures of duration for
immunization on conceptual grounds. However, more elegant duration measures have not …

The official study text for the Level I Chartered Alternative Investment Analyst (CAIA) exam
The Chartered Alternative Investment Analyst (CAIA) designation is the financial industry's first …

The first section of this article introduces our model’s two factors, both without and with
correlation, but without the probability of default. The second section of the article details the …

Current immunization models have limited power in interest rate risk protection. A new
approach, entitled M-Absolute, is designed to provide powerful and practical single-risk-measure …

Most standard approaches to the analysis of prospective capital investment projects attempt
to take into account the method by which the investment is to be financed. In this paper, we …

Previous research indicates mixed conclusions on the potential mispricing of equity index
put options. We examine the returns of put writing and other option strategies by comparing …

Diversification return is the amount by which the geometric mean return (ie, average
compounded return) of a portfolio exceeds the weighted average of the geometric means of the …

Alternative Investments: A Primer for Investment Professionals provides an overview of
alternative investments for institutional asset allocators and other overseers of portfolios …