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

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Listed:
  • Stephen A. Gorman

    (Wellington Management)

  • Frank J. Fabozzi

    (EDHEC Business School)

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.

Suggested Citation

  • Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
  • Handle: RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0
    DOI: 10.1057/s41260-021-00234-0
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