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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …
Persistent link: https://www.econbiz.de/10011890772
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The democratization of wealth management : hedged mutual fund blockchain protocol
Kashyap, Ravi - In: Research in international business and finance 71 (2024), pp. 1-29
Persistent link: https://www.econbiz.de/10015062851
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The risk in hedge fund strategies : theory and evidence from long/short equity hedge funds
Fung, William (contributor); Hsieh, David A. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003768632
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Evaluation of gold investment as an inflationary hedge in case of Pakistan
Zafar, Sadaf; Javid, Attiya Yasmin - 2015
Persistent link: https://www.econbiz.de/10010511958
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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This Version: May 10, 2015
We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...
Persistent link: https://www.econbiz.de/10011308031
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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This version: May 10, 2015
We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive...
Persistent link: https://www.econbiz.de/10011344453
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Incentive contracts and hedge fund management
Hodder, James E. (contributor);  … - 2005
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...
Persistent link: https://www.econbiz.de/10003221920
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Incentive contracts and hedge fund management : a numerical evaluation procedure
Hodder, James E. (contributor);  … - 2003
The behavior of a hedge-fund manager naturally depends on her compensation scheme, her preferences, and constraints on her risk-taking. We propose a numerical method which can be used to analyze the impact of these influences. The model leads to several interesting and novel results concerning...
Persistent link: https://www.econbiz.de/10002527931
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Assessing market risk for hedge funds and hedge funds portfolios
Lhabitant, François-Serge - 2001
Persistent link: https://www.econbiz.de/10001599887
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Performance evaluation of hedge funds with options-based and buy-and-hold strategies
Agarwal, Vikas (contributor); Naik, Narayan Y. (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700321