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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
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Incentives and Risk Taking in Hedge Funds
Kouwenberg, Roy; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the … in the behavioural framework ofprospect theory. The performance related component encourages funds managers to take … excessive risk. However, risk taking is greatly reduced if a substantial amount of the manager’s own money is in the fund as …
Persistent link: https://www.econbiz.de/10005858410
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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...
Persistent link: https://www.econbiz.de/10005859384