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  • The Role of the Constant Recovery Assumption in the Subprime Bubble
    Donald R. Chambers, Michael A. Kelly, Qin Lu
    Journal of Alternative Investments, 2010
    Summer
    Securitization of mortgages is believed to have contributed to the recent boom and bust in real estate. In particular, structured products with wide tranches of AAA-rated derivative securities are retrospectively vilified.A key issue has been to...
  • The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio
    George A. Martin
    Journal of Alternative Investments, 2010
    Summer
    This article analyzes the potential role of an expansive set of real asset classes in reducing inflation risk in the portfolios of long-horizon institutional investors. The author proposes a simple model of the evolution of asset returns that can be...
  • Dual Offerings of ETFs on the Same Stock Index: U.S. vs. Swiss ETFs
    Nikolaos T Milonas , Gerasimos G Rompotis
    Journal of Alternative Investments, 2010
    Spring
    According to the law of one price, two identical securities traded in different places at the same time should command the same price. This law applies not only on original securities but on any other synthetic, derivative, or portfolio of...
  • Can CDO Equity Be Short on Correlation?
    Şenay Ağca , Saiyid Islam
    Journal of Alternative Investments, 2010
    Spring
    Collateralized debt obligations (CDO) became very popular investment vehicles in recent years—until the financial crisis started unfolding in summer 2007. As evidenced by the recent crisis, there was a failure by market participants to understand...
  • Exit Strategies of Buyout Investments: An Empirical Analysis
    Daniel M Schmidt , Sascha Steffen , Franziska Szabó
    Journal of Alternative Investments, 2010
    Spring
    Although buyout investments represent a considerable proportion of private equity volume, so far little research has been done on the exit strategies of buyout investments. This article takes a step in this direction by investigating buyouts in more...