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Anca Dimitriu

University of Reading - ISMA Centre

PhD Student

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • University of Reading - ISMA Centre

SCHOLARLY PAPERS

5

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14,580

CITATIONS
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SSRN RANKINGS

Top 19,382

in Total Papers Citations

16

Scholarly Papers (5)

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1.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 7,916 (417)
Citation 5

Abstract:

cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy

2.

The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 1,857 (5,701)
Citation 7

Abstract:

3.

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

Downloads 1,480 ( 9,396)
Citation 1

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

EFMA 2004 Basel Meetings Paper
Number of pages: 30 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 839 (22,225)
Citation 1

Abstract:

Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

ISMA Centre Working Paper No. DP2003-08
Number of pages: 31 Posted: 27 Jul 2003
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 641 (32,485)
Citation 1

Abstract:

indexing, value strategies, optimisation models, principal component analysis, abnormal returns

4.

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Number of pages: 30 Posted: 02 Apr 2003
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 1,398 (9,717)

Abstract:

index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices

5.

Detecting Switching Strategies in Equity Hedge Funds

ISMA Centre Finance Discussion Paper No. DP2005-07
Number of pages: 11 Posted: 24 Apr 2005
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 813 (22,228)
Citation 3

Abstract:

Equity Hedge Funds, Markov Switching, Regimes

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