Showing 1 - 6 of 6
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
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
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
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
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...
Persistent link: https://www.econbiz.de/10005859384
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