Josh Davis

Pacific Investment Management Company (PIMCO)

United States

SCHOLARLY PAPERS

4

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Top 21,755

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2,144

CITATIONS

4

Scholarly Papers (4)

1.

Offensive Risk Management: Can Tail Risk Hedging Be Profitable?

Number of pages: 20 Posted: 24 Mar 2010 Last Revised: 06 Apr 2010
Vineer Bhansali and Josh Davis
LongTail Alpha, LLC and Pacific Investment Management Company (PIMCO)
Downloads 2,052 (6,767)
Citation 9

Abstract:

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Tail Hedging, Asset Allocation

2.

Currency Carry Trade Regimes: Beyond the Fama Regression

NBER Working Paper No. w15523
Number of pages: 31 Posted: 24 Nov 2009 Last Revised: 14 Mar 2010
Columbia University - Graduate School of Arts and Sciences - Department of Eco, Pacific Investment Management Company (PIMCO) and Pimco
Downloads 92 (276,341)
Citation 41

Abstract:

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3.

Carry and Trend in Lots of Places

Posted: 18 Mar 2015
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), California Institute of Technology and Pacific Investment Management Company (PIMCO)
Downloads 0 (661,445)

Abstract:

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Carry, trend, momentum, asset allocation

4.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, risk factor parity