Bookshelf – Bücher die bei mir im Regal im stehen oder in digitaler Form auf meinem Ebook Reader habe. Den Anfang der Liste macht Portable Alpha Theory and Practice» von Sabrina C. Callin.
Alpha and Beta in an Exposure based Framework
Pranay Gupta, Jan Straatman
Abstract: This paper proposes a philosophy, which generalises the concepts of alpha and beta in its various forms. We argue that in a generalised form the demarcation is actually one between commoditised and non-commoditised beta exposures. This demarcation changes as the market evolves. We further discuss the implications of this framework for active investment processes and the conceptual understanding of portable alpha strategies and risk management.
Revisiting portable alpha from a risk-reduction perspective
TD Asset Management Inc., Industry Report December 2009
Depending on the implementation, portable alpha can be a highly conservative and risk- averse strategy. For investors who are rethinking the risk that equities bring to a portfolio, portable alpha may provide an alternative.