Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...

The goal of this chapter is twofold: First, we present an overview of the current researchon hedge fund performance. Second, we provide new evidence for the Europeanhedge fund industry. The empirical analysis scrutinizes the return patterns in thepast and alerts investors to the potential...

The innovations of this paper are fourfold: First we study return differentials more comprehensivelythan in the previous literature by comparing three asset classes : money market instruments, bonds andequities across countries. Second, we document the structure of international portfolio...