A strategy of allocating funds within a portfolio using derivatives to neutralize the market risk inherent in the portfolio. It...

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...

A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...

A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...

A method of transporting the active return (alpha) among asset classes by separating and transporting uncorrelated incremental returns from one...

This second-order greek expresses the quality of gamma in terms of the time decay (rent). Therefore, it indicates the quality of the earnings from...

The construction of a portfolio using active returns (alpha) as the primary driver of the construction process, instead of asset class betas. More specifically, this...