Douglas Greenig

Independent

No Address Available

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads 4,232 (1,936)

Abstract:

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fixed weights, 60-40, drift weights, constant weights, rebalanced portfolio, rebalancing, negative skewness, negative skew, short straddle, negative gamma, momentum overlay, negative convexity

2.

Non-Separable Preferences, Stochastic Returns and Intertemporal Substitution in Consumption

Number of pages: 115 Posted: 07 Aug 2014
Douglas Greenig
Independent
Downloads 103 (254,150)

Abstract:

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Equity premium puzzle, Time-nonseparable utility, Elasticity of substitution, Consumption smoothing, Real interest rate puzzle, Epstein-Zin.