Gerben de Zwart

TL;DR: In this paper, the authors measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments and find that combining the two types of information improves the risk-adjusted performance of the investment strategies.

TL;DR: In this article, the authors find that a substantial portion of short-term corporate bond returns are independent of risk premiums associated with market risk, term and default risk, yield curve dynamics, liquidity risk and premium associated with macroeconomic variables.

TL;DR: In this article, a dynamic recommitment strategy was developed to preserve the strategic allocation to private equity. But the level of new commitments was determined by characteristics of the existing private equity portfolio, including received distributions, uncalled capital from old commitments, and the current allocation relative to its target level.

TL;DR: In this article, the authors measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments and find that combining the two types of information improves the risk-adjusted performance of the investment strategies.

TL;DR: This article conducted an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP).