Essays about: "Carl Armfelt"

Found 1 essay containing the words Carl Armfelt.

  1. 1. Performance, Benefits and Risks of Active-extension Strategies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Carl Armfelt; Daniel Somos; [2008]
    Keywords : Active-extension; 130 30; 130-30; Enhanced Equity; Directional long-short; Portfolio theory;

    Abstract : 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