Books and Periodicals

Books, book chapters and trade-magazine articles written by our researchers.

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  1. This book presents theory and evidence on how market liquidity and liquidity risk affect asset prices and overall securities market performance.

  2. This book covers the building blocks of asset-class diversification: the equity premium, fixed income premia and alternative assets.

  3. Many of the techniques described here are used by analysts to make security recommendations and by asset managers in making portfolio allocation decisions.

  4. The much-coveted 5% real rate of return is difficult to achieve, but for investors willing to use derivatives and leverage there is a potential way to do it.

  5. Harvard Business School case study: the AQR DELTA strategy, how it captures classic hedge fund strategy returns, and how it compares to the hedge fund industry.

  6. Harvard Business School case study: AQR's DELTA strategy, its performance and tactical tilts.

  7. Outside of textbooks, important risk decisions involve potential outcomes that cannot be reduced to a single numeraire.

  8. January 01, 2012

    We now appear to be starting Cold War II, which should result in some kind of peaceful co-existence of capitalists and managers, of principals and agents, of people who want to do as they please but often make stupid choices and people who generally make smart choices but want to make them for everyone else.

  9. Over the last 60 years, the concept of risk premium has embedded itself so deeply in finance that it is hard to think of investing without relying upon it.

  10. One thing almost everyone seems to agree on is that people are bad at dealing with risk. We ignore real risks and worry about imaginary ones. We buy insurance and lottery tickets both.