Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Robin Grieves"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3937149fa9601987e38ce2392a1c1c36
https://doi.org/10.2139/ssrn.4353198
https://doi.org/10.2139/ssrn.4353198
Autor:
Timothy Falcon Crack, Robin Grieves
Publikováno v:
SSRN Electronic Journal.
The practical implications of modern portfolio theory (MPT) are obscured by more than 50 years of academic literature. We shed light on the literature by picking out the few most important implications of MPT. We argue first that what we dub the “M
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::04710b6ca6bb8937d9e403026df32340
https://doi.org/10.2139/ssrn.3086977
https://doi.org/10.2139/ssrn.3086977
Autor:
Steven V. Mann, Robin Grieves
Publikováno v:
Financial Markets and Portfolio Management. 25:95-106
Comparing asset swap spreads across bonds is a widely used tool for measuring relative value. This approach leads portfolio managers to increase their risk exposure in ways that are not transparent. Credit default swaps are utilized to demonstrate th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d5245f8e030676220c14d75acdb8de3
https://doi.org/10.1007/s11408-010-0150-x
https://doi.org/10.1007/s11408-010-0150-x
Publikováno v:
Pacific Accounting Review. 22:4-21
PurposeThis article aims to explore three facets of the historical performance of a sample of actively managed unit trusts available to New Zealand investors: asset allocation, style analysis, and return attribution.Design/methodology/approachBecause
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::af314133af2c057b87d4f53f08c68c88
https://doi.org/10.1108/01140581011034191
https://doi.org/10.1108/01140581011034191
Publikováno v:
Review of Financial Economics. 19:1-7
Using Treasury bond and note futures to hedge fixed-income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract. Grieves and Marcus [Grieves, R. and A. Marcus. (2005). Delivery options and Treasury
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b340d88bf54bfde9300e1060f7c6fe58
https://doi.org/10.1016/j.rfe.2009.06.003
https://doi.org/10.1016/j.rfe.2009.06.003
Autor:
Robin Grieves, Alan J. Marcus
Publikováno v:
The Journal of Derivatives. 13:70-76
A widely used approach for calculating hedge ratios for Treasury futures contracts assumes that the contract will be settled with the currently cheapest–to–deliver note or bond. With that single–deliverable assumption, the futures’ PVBP (pric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::24d3fe412571ad88d8331cf205818156
https://doi.org/10.3905/jod.2005.605353
https://doi.org/10.3905/jod.2005.605353
Autor:
Steven V. Mann, Robin Grieves
Publikováno v:
The Journal of Derivatives. 12:56-61
Contracts for futures and other derivatives that allow physical delivery must specify a set of deliverable instruments in order to limit the possibility of squeezes in the cash market. But this invariably leads to one or a small number of them becomi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::977d4b1dbc0c6a94454da9aaf4e273e6
https://doi.org/10.3905/jod.2004.450969
https://doi.org/10.3905/jod.2004.450969
Autor:
Robin Grieves
Publikováno v:
The Journal of Portfolio Management. 26:87-95
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d9c8c3af191254b4327fadbf6d4c4c8
https://doi.org/10.3905/jpm.1999.319777
https://doi.org/10.3905/jpm.1999.319777
Autor:
Robin Grieves, Michael W. Sunner
Publikováno v:
The Journal of Fixed Income. 9:55-62
Treasury inflation–indexed securities (IIS) pay semi annual interest that depends on the coupon rate on the note or bond and on inflation as measured by the Consumer Price Index for all urban consumers from the bond9s date. The necessary condition
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e03bc8881a463ad20f1da5055a67792c
https://doi.org/10.3905/jfi.1999.319230
https://doi.org/10.3905/jfi.1999.319230
Publikováno v:
The Journal of Portfolio Management. 25:74-82
The authors examine the effectiveness of “riding the bill curve” using a comprehensive sample of U.S. Treasury bills over a recent ten-year period. The results suggest that riding the bill curve consistently enhances returns over a buy-and-hold s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::287a6624de65feda46098b458887ebce
https://doi.org/10.3905/jpm.1999.319717
https://doi.org/10.3905/jpm.1999.319717