Showing 1 - 10 of 44 results for 'Derivatives'

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News

AQR Vice President Addresses Derivatives Clearing Conference

AQR Associate General Counsel Boris Liberman was invited to discuss how to develop robust and efficient derivatives clearing infrastructure at a Risk magazine conference in New York.

News

AQR Vice President Speaks at the Risk Derivatives Clearing Conference

AQR Capital Management Vice President and Associate General Counsel Boris Liberman joined a panel discussion at Risk magazine's  Derivatives Clearing Conference in New York City.

Trade Publication

Where the Wild Things Aren't: Using Derivatives and Leverage to Improve Portfolio Performance

In the current world of modest risk premia, investors face a choice to limit their investment options, or diversify and build more stable portfolios.

Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

Working Paper

Causes and Consequences of Margin Levels in Futures Markets

Using a Freedom of Information Act request, we obtained a data set on margin requirements for 16 commodity futures contracts, and used it to explore how margins are set and to test the existing theories on the implications of changing margin levels.

Journal Article

Demand-Based Option Pricing

Index and equity options are notoriously difficult to price.

Journal Article

An Alternative Future: Part I

Depending on whom you ask, hedge funds are either the wave of the future or a dangerous fad that has been grossly overcapitalized, and all will end in ruin.

Journal Article

Valuation in Over-the-Counter Markets

We document the impact on asset prices of search-and-bargaining frictions in over-the-counter markets.

Journal Article

An Alternative Option to Portfolio Rebalancing

We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.