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Papers by Daniel Cashion
The Journal of Portfolio Management, 2004
... ROBERT SCHOEN is a senior vice president, Global Asset Allocation, and a manager at Putnam In... more ... ROBERT SCHOEN is a senior vice president, Global Asset Allocation, and a manager at Putnam Investments. ... Multiple Alpha Sources and Active Management ... the information ratio (IR) (expected active return a divided by estimated active risk s a ). The common expres-sion is: ...
Journal of Futures Markets, 2003
This article reports new empirical results on the information content of implied volatility, with... more This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are examined.
Journal of Financial Research, 2004
The Journal of Portfolio Management, 2004
... ROBERT SCHOEN is a senior vice president, Global Asset Allocation, and a manager at Putnam In... more ... ROBERT SCHOEN is a senior vice president, Global Asset Allocation, and a manager at Putnam Investments. ... Multiple Alpha Sources and Active Management ... the information ratio (IR) (expected active return a divided by estimated active risk s a ). The common expres-sion is: ...
Journal of Futures Markets, 2003
This article reports new empirical results on the information content of implied volatility, with... more This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are examined.
Journal of Financial Research, 2004