Similar Search Results

Hedge fund behavior: An ex-post analysis

Nguyen-Thi-Thanh, Huyen - HAL - 2004

This paper aims to analyze hedge fund index behavior over the 9-year period ranging from January 1994 to December 2002 with help of various statistical measures. The results indicate that hedge fund returns are not normally distributed and exhibit first order autocorrelation, a phenomenon known...

Persistent link: https://www.econbiz.de/10008793593

On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal

Nguyen-Thi-Thanh, Huyen - HAL - 2006

This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria...

Persistent link: https://www.econbiz.de/10008794389

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Kaffel, Rania Hentati; Peretti, Philippe De - HAL - 2014

In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings...

Persistent link: https://www.econbiz.de/10011026186

Faut-il corriger les rentabilités des hedge funds?

Nguyen-Thi-Thanh, Huyen; Gallais-Hamonno, Georges; … - HAL - 2008

Ce papier examine deux principaux mécanismes proposés dans la littérature pour corriger les rentabilités lissées des hedge funds et l'impact de cette correction sur les caractéristiques statistiques de la distribution des rentabilités et sur la performance des fonds. Nos résultats...

Persistent link: https://www.econbiz.de/10008790420

Quantitative selection of hedge funds using data envelopment analysis

Nguyen-Thi-Thanh, Huyen - HAL - 2006

Previous studies have documented that Data Envelopment Analysis(DEA) could be a good tool to evaluate fund performance,especially the performance of hedge funds as it can incorporatemultiple risk-return attributes characterizing hedge fund's nonnormal return distribution in an unique performance...

Persistent link: https://www.econbiz.de/10008791478

Assessing Hedge Fund Performance: Does the Choice of Measures Matter?

Nguyen-Thi-Thanh, Huyen - HAL - 2007

In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample...

Persistent link: https://www.econbiz.de/10008793397

Spectral risk measures and portfolio selection

Adam, Alexandre; Houkari, Mohamed; Laurent, Jean-Paul - HAL - 2007

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management...

Persistent link: https://www.econbiz.de/10008793539

Affiliated and independent venture capitalists: early stages screening and the syndication / leverage trade-off

Nasica, Eric; Torre, Dominique - HAL - 2008

The topic of this paper is to analyze comparatively the interest and the advantages of the existence of heterogeneous institutions in the Venture Capital activity. We focus on the duality relevant in Europe between Independent Venture Capitalists and the Bank-Affiliated ones. We first discuss in...

Persistent link: https://www.econbiz.de/10008793553

The necessity to correct hedge fund returns: empirical evidence and correction method

Gallais-Hamonno, Georges; Nguyen-Thi-Thanh, Huyen - HAL - 2007

We study two principal mechanisms suggested in the literature to correct the serial correlationin hedge fund returns and the impact of this correction on financial characteristics of their returnsas well as on their risk level and on their performances. The methods of Geltner (1993), its...

Persistent link: https://www.econbiz.de/10008793728

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

Persistent link: https://www.econbiz.de/10008873568