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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

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 managers own money is in the fund as …

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...

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