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Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Prices and portfolio choices in financial markets : theory, econometrics, experiments

Bossaerts, Peter L. (contributor); … - 2007

Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

Persistent link: https://www.econbiz.de/10003549745

Using economic and financial information for stock selection

Roko, Ilir (contributor); Gilli, Manfred (contributor) - 2006

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its … inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets … exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of …

Persistent link: https://www.econbiz.de/10003394276

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

Competition in portfolio management : theory and experiment

Asparouhova, Elena; Bossaerts, Peter L.; Čopič, Jernej; … - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1868-1888

Persistent link: https://www.econbiz.de/10011338808