In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specifications of...

This paper develops a novel framework for characterizing firms with respect to their intangible assets and investigates their impact on market valuations and operating performance. Our framework is based on a contemporary theoretical Knowledge Management concept, namely Intellectual Capital. We...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe ‘style analysis' where we augment the objective function with a penalty proportional to the sum of the absolute...

This paper studies hedge fund return predictability in a multivariate setting. Our research design and analysis is motivated by the empirical observations that a specific forecasting model that is going to perform well is not known ex-ante and that modelling time varying return...

Not all insiders are the same; some are more effective than others in processing the information they have access to, and invest their own wealth accordingly. We used a database with transactions from the U.K. market to identify insiders with superior market timing abilities. For the period 1994...

This paper develops a method for estimating implied PDFs for futures prices from American options. The restricting assumption of log-normally distributed returns is relaxed with the use of the more flexible distributional form of an Edgeworth Series Expansion (ESE) of a log-normal distribution....

This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing. We show how to incorporate heteroscedasticity, thus, we develop a framework that jointly accounts for model uncertainty and heteroscedasticity. Relevant risk factors are identified and compared with...

We develop an analytical solution to the dynamic multi-period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time varying returns...

Cross-market deviations in equity put option prices and credit default swap spreads are temporal and revert to their usual level shortly after they occur, on average within about one week. The process of reversion involves predictable and economically significant changes also in the equity...