主动投资组合管理，正Jensen-Jarrow Alpha和零集 CAPM的

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摘要翻译：
与Jarrow(2010，pg.20)中有争议的结果相比，我们提出了积极的alpha在积极的投资组合管理领域中存在的条件，该结果通过猜测积极的alpha是幻觉来暗示委托的投资组合管理。具体地说，我们证明Jarrow(2010，PG.20)中用于推导幻觉alpha结果的临界假设是基于Lebesgue测度为零的CAPM的零集。因此，基于这一假设的结论很可能也有概率测量零发生。从技术上讲，CAPM的零点集上[Tanaka]本地时间的存在意味着正Alphas的存在。事实上，我们证明了在Jarrow(2010)所使用的“永久事件互换”和“市场系统性事件”的相同情景下，正alpha也存在。首先，我们证明了只要资产价格波动率大于零，市场崩溃等系统性事件几乎肯定会在有限时间内发生。从而为防范这一事件创造了机会。其次，我们发现Jarrow的假阳性alpha变量构成了投资组合经理对交易策略的报酬。例如，我们表明，如果投资组合经理基于以下两种方法制定对冲策略，即（1）基础资产上的一种奇异的[障碍]期权--障碍触及时间由“市场系统性”事件驱动，或者（2）对Jarrow的无风险收益率、因素敏感性暴露和永久事件掉期的不变风险溢价三项所固有的隐含利率风险进行掉期策略，则存在正alpha。
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英文标题：
《Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets
  of CAPM》
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作者：
G. Charles-Cadogan
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

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英文摘要：
  We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg. 20), to derive the illusionary alpha result, is based on a zero set for CAPM with Lebesgue measure zero. So conclusions based on that assumption may well have probability measure zero of occurrence as well. Technically, the existence of [Tanaka] local time on a zero set for CAPM implies existence of positive alphas. In fact, we show that positive alpha exists under the same scenarios of "perpetual event swap" and "market systemic event" Jarrow (2010) used to formulate the illusionary positive alpha result. First, we prove that as long as asset price volatility is greater than zero, systemic events like market crash will occur in finite time almost surely. Thus creating an opportunity to hedge against that event. Second, we find that Jarrow's "false positive alpha" variable constitutes portfolio manager reward for trading strategy. For instance, we show that positive alpha exists if portfolio managers develop hedging strategies based on either (1) an exotic [barrier] option on the underlying asset - with barrier hitting time motivated by the "market systemic" event, or (2) a swaption strategy for the implied interest rate risk inherent in Jarrow's triumvirate of riskless rate of return, factor sensitivity exposure, and constant risk premium for a perpetual event swap.
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PDF链接：
https://arxiv.org/pdf/1206.4562

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关键词：Jarrow Jensen 投资组合管理 arrow Alpha time CAPM 时间 可能 systemic