Essays about: "Daniel Somos"
Found 1 essay containing the words Daniel Somos.
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1. Performance, Benefits and Risks of Active-extension Strategies
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : How are long-only managers’ performance limited by the fact that they are constrained to no short selling? Applying a bootstrap statistical technique, we analyze the performance of active-extension strategies using 25 Fama-French portfolios formed on size and book-to-market. We show that a pool of active-extension portfolios outperform long-only portfolios, when the same alpha model is used. READ MORE
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