In der Literatur wird häufig vermutet, dass eine zunehmende Anzahl Hedgefondseinen negativen Einfluss auf die Renditen dieser Fonds haben könnte. DieserVermutung wird in diesem Beitrag nachgegangen. Wir verfolgen dabei zweiZiele: Zum einen geben wir einen Überblick über die Entwicklung des...

Data envelopment analysis (DEA) is a nonparametric method from the area of operationsresearch that measures the relationship of produced outputs to assignedinputs and determines an efficiency score. This efficiency score can be interpretedas a performance measure in investment analysis. Recent...

In this article, we study the effect of liquidity risk on the performanceof various hedge fund portfolio strategies. The portfolio strategies in eachhedge fund style are formed by incorporating predictability in: (i) managerialskills, (ii) fund risk loadings, and (iii) benchmark returns. As...

With hedge funds, issues such as finding common factors that definealternative strategies or the tracking of hedge funds have beendiscussed more or less recently in the financial literature. We proposehere the use of recent developments in estimation of factor modelsto unveil the five latent...

We analyze an equilibrium model in which agents exposed to idiosyncraticrisk can purchase insurance policies in addition to financialassets. The price of an insurance contract depends nonlinearly on theclaims and explicitly contains safety loadings, proportional to variance.We consider random...

Mechanismen und Einsatz von Hedge Funds als Anlageinstrument werden seit längerem sowohl in der Theorei wie auch in der Praxis kontrovers diskutiert. Einerseits werden die Risiken von Hedge Funds als Argument gegen deren Einsatz aufgeführt und andererseits die statistischen Charakteristiken...

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...

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...

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...

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...