Reda Jürg Messikh

Pictet Asset Management SA

Geneva

Switzerland

SCHOLARLY PAPERS

2

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2

Scholarly Papers (2)

1.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
University of Geneva - Geneva Finance Research Institute (GFRI), Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 2,270 (7,177)
Citation 1

Abstract:

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Relative arbitrage, Market diversity, Beta

2.

A Proof of the Outperformance of Beta Arbitrage Strategies

Number of pages: 13 Posted: 20 Apr 2010
Reda Jürg Messikh and Gianluca Oderda
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads 405 (84,530)
Citation 1

Abstract:

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Ex-ante variance, ex-ante beta-weighted portfolios, beta arbitrage strategies