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The Duality of Option Investment Strategies for Hedge Funds

Rodriguez-Mancilla, Jose R.; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several...

Persistent link: https://www.econbiz.de/10005858399

Incentives and Risk Taking in Hedge Funds

Kouwenberg, Roy; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...

Persistent link: https://www.econbiz.de/10005858410

Performance in the Hedge Fund Industry : An Analysis of Short and Long-Term Persistence

Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this study we analyze the performance persistence of hedge funds over different time horizons. Using a non-parametric test, we first observe that the relative value and the specialist credit strategies contain the highest proportion of outperforming mangers. Furthermore, there is no evidence...

Persistent link: https://www.econbiz.de/10005859107

Hedge Funds Allocation with Survival Uncertainty and Investment Constraints

Barès, Pierre-Antoine; Gibson, Rajna; Gyger, Sébastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

We use an expected utility framework to integrate the hedge funds survival uncertainty into an asset allocation optimizartion model. The addition of investment constraints complicates the resolution of the optimal allocation problem. It is solved using a genetic algorithm that mimics the...

Persistent link: https://www.econbiz.de/10005859356

Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the … implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect … hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We …

Persistent link: https://www.econbiz.de/10005859384

Hedge Funds im Urteil von Anbietern und Investoren: Eine kritische Analyse

Auckenthaler, Christoph; Skaanes, Stefan; Marin, Cristina - Institut für Schweizerisches Bankwesen <Zürich> - 2002

Mechanismen und Einsatz von Hedge Funds als Anlageinstrument werden seit längerem sowohl in der Theorei wie auch in der Praxis kontrovers diskutiert. Einerseits werden die Risiken von Hedge Funds als Argument gegen deren Einsatz aufgeführt und andererseits die statistischen Charakteristiken...

Persistent link: https://www.econbiz.de/10005856982

Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance

Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...

Persistent link: https://www.econbiz.de/10005858246

Weak Convergence of Hedging Strategies of Contingent Claims

Prigent, Jean-Luc; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets … trading strategy, when perfect hedging of contingent claims is infeasible, is robust under weak convergence. Several …

Persistent link: https://www.econbiz.de/10005859330