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Combining alphas via bounded regression
Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...
Persistent link: https://www.econbiz.de/10011402659
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A spectral model of turnover reduction
Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589
We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...
Persistent link: https://www.econbiz.de/10011410628
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Create better diversified high-conviction equity portfolios using the portfolio diversification index
Crezée, Dominiek P. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008665119
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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10003948797
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Fund-of-funds construction by statistical multiple testing methods
Wolf, Michael; Wunderli, Dan - 2009
Persistent link: https://www.econbiz.de/10003942225
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Hedge fund selection : an investment approach based on risk-adjusted performance measures
Raasch, Martin - 2013
In den letzten Jahren ist das Management von Hedgefonds-Portfolios zu einem beliebten Forschungsgebiet herangewachsen …. Der Autor dieser Dissertation entwickelt einen quantitativen Ansatz für Investitionen in Hedgefonds, welcher von …, gleich gewichtete Indizes von Hedgefonds und Dachfonds von Hedgefonds in Bezug auf Risiko und Rendite übertreffen können. Es …
Persistent link: https://www.econbiz.de/10009713735
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Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns
Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...
Persistent link: https://www.econbiz.de/10011505836
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The cost of capital for alternative investments
Jurek, Jakub W.; Stafford, Erik - 2011 - This draft: August 2011
Persistent link: https://www.econbiz.de/10009295718
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Risks and portfolio decisions involving hedge funds
Agarwal, Vikas (contributor); Naik, Narayan Y. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700390
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....
Persistent link: https://www.econbiz.de/10013128908