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The ABC’s of the ARP: understanding alternative risk premium
Journal of Asset Management ( IF 1.5 ) Pub Date : 2021-07-20 , DOI: 10.1057/s41260-021-00231-3
Stephen A. Gorman 1 , Frank J. Fabozzi 2
Affiliation  

Alternative risk premium (ARP) has experienced significant growth as an investment category in recent years. While considerable educational efforts accompanied this growth, gaps and misunderstandings persist. This paper provides a detailed definition of and contextualization of ARP as well as a comprehensive review of its academic roots, explaining that ARP sits at the confluence of decades of research on empirical anomalies, hedge fund replication, multi-factor models and data snooping.



中文翻译:

ARP 的 ABC:了解替代风险溢价

近年来,另类风险溢价 (ARP) 作为一种投资类别经历了显着增长。尽管伴随着这种增长做出了大量的教育努力,但差距和误解仍然存在。本文提供了 ARP 的详细定义和背景,以及对其学术根源的全面回顾,解释了 ARP 是几十年来对经验异常、对冲基金复制、多因素模型和数据窥探的研究的汇合点。

更新日期:2021-07-20
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