The ABC’s of the alternative risk premium: academic roots

Stephen A. Gorman and Frank J. Fabozzi ()
Additional contact information
Stephen A. Gorman: Wellington Management
Frank J. Fabozzi: EDHEC Business School

Journal of Asset Management, 2021, vol. 22, issue 6, No 3, 405-436

Abstract: Abstract This paper is the second of a two-part series that provides essential context for any serious study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the academic lineage of ARP strategies, regularly citing seminal papers. However, a single, comprehensive review of the copious research underpinning the category does not exist. This paper provides a comprehensive review of ARP’s academic roots, explaining that it sits at the confluence of decades of research on empirical anomalies, hedge fund replication, multi-factor models, and data snooping.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/s41260-021-00234-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-021-00234-0

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().