Surprisingly enough, the financial crisis of 2008 has put a bright spotlight on hedge funds once again. In fact, Title IV of the Dodd-Frank act of 2010 places a host of additional regulations on hedge funds through modifications of the Investment Advisor Act of 1940. Yet, hedge funds had little...

The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a large-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 21, 2006, Amaranth had lost roughly...

The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman...

This chapter discusses the concepts related to using futures to hedge a variety of business risks. Those business risks include risks natural and unnatural hedgers might face in the market place. The chapter provides some simple examples of hedging in various markets to give the reader a sense...

The purpose of this study is to determine whether fund managers would do better in allocating their funds among different asset classes by using the new Generalized Autoregressive Conditional Heteroskedastic (GARCH) models. Recently, a spate of papers has been written claiming that GARCH models...

The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a mid-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 22, 2006, Amaranth had lost roughly $5.85B...