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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700
New: Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
Tue, 15 May 2012 00:34:41 GMT
We present conditions under which positive alpha exists in the realm of active portfolio management - in contrast to the controversial result in (Jarrow (2010) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg. 20), to derive the illusionary alpha result, is based on a zero set for CAPM with Lebesgue measure zero. So conclusions based on the assumption may well have proba
