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Hedge funds for retail investors? - An examination of hedged mutual funds
Agarwal, Vikas; Naik, Narayan Y.; Boyson, Nicole M. - 2007
outperform traditional mutualfunds. Most interesting, this superior performance is largely driven by managers with experience … Hedgefonds vorbehalten waren. Beispielsweise ist es diesen Fondsmöglich, auch Leerverkäufe zu tätigen. Im Unterschied zu … klassischen Hedgefonds ist eineAnlage in Hedgefonds-ähnliche Publikumsfonds auch weniger vermögenden Anlegernmöglich. Im Rahmen …
Persistent link: https://www.econbiz.de/10005855886
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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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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
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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
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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