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Hedge fund portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2014

This paper features an analysis of the effectiveness of a range of portfolio diversfication strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...

Persistent link: https://www.econbiz.de/10010465157

A multi-criteria portfolio analysis of hedge fund strategies

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2017

This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...

Persistent link: https://www.econbiz.de/10011587620

Intuitive versus contemplative : do entrepreneurs differ in their decision-making style from managers and employees?

Koudstaal, Martin; Sloof, Randolph; Praag, Mirjam van - 2017

We examine in a large survey (n = 1,928) how contemplative entrepreneurs, managers and employees are in their decision … choices are partly in line with this: entrepreneurs make indeed more intuitive choices than managers, but are equally …) equal those of managers. Together these findings tentatively suggest that entrepreneurs start from a stronger prior …

Persistent link: https://www.econbiz.de/10011739416

Are entrepreneurs more optimistic and overconfident than managers and employees?

Koudstaal, Martin; Sloof, Randolph; Praag, Mirjam van - 2015

others. However, the same holds true for top managers. In this lab-in-the-field experiment we directly compare the scores of … entrepreneurs, managers and employees on a comprehensive set of measures of optimism and overconfidence (n = 2,058). The results … when bad events occur. For incentivized measures of overconfidence we find no difference between entrepreneurs and managers …

Persistent link: https://www.econbiz.de/10011378220

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010259630