An alternative future

Journal of Portfolio Management

Volumn 30, Issue SUPPL., 2004, Pages

  Asness, Clifford ^a  

^a AQR Capital Management LLC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 7544230076     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2004.442627     Document Type: Review

References (11)

1. Asness, Clifford. "An Alternative Future: Part II." The Journal of Portfolio Management, forthcoming, Fall 2004.
2. -. "Hedge Fund Alphas and Betas." Presentation to NMS Management's Annual Endowments & Foundations Conference, January 26, 2003.
3. -. "Market-Neutral Investing: Putting the 'Hedge' in Hedge Funds." Working paper, AQR Capital Management, 1998.
4. Clarke, Roger, Harindra de Silva, and Steven Thorley. "Portfolio Constraints and the Fundamental Law of Active Management." Financial Analysts Journal, September/October 2002.
5. Dunn, Thomas. "ABP Hedge Fund Investments." Presentation at the University of Chicago Graduate School of Business, May 14, 2004.
6. Fama, Eugene F., and Kenneth R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993).
7. -. "Multifactor Explanations of Asset Pricing Anomalies." Journal of Finance, March 1996.
8. Jensen, Greg, and Jason Rotenberg. "The Flood Into Hedge Funds." Bridgewater Daily Observations, May 9, 2003.
9. Mitchell, Mark, and Todd Pulvino. "Characteristics of Risk and Return in Risk Arbitrage." Journal of Finance, 56 (6) (2000), pp. 2135-2175.
10. Roll, Richard. "A Mean/Variance Analysis of Tracking Error." The Journal of Portfolio Management, Summer 1992.
11. Siegel, Laurence B. "The Risk of Paying Alpha Fees for Beta Performance." Presentation to PRMIA, August 26, 2004.