We analyse a sample of funds and other securities each assigned a total rating score by an unknown expert entity. The scores are based on a number of risk and complexity factors, each assigned a category (factor score) of Low, Medium, or High by the expert entity. A principal component analysis...

Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. Given an incentive structure that involves fees based on performance, this paper proposes a structure and quot;equalizationquot; process that is both equitable...

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and...

We analyse a sample of funds and other securities each assigned a total rating score by an unknown expert entity. The scores are based on a number of risk and complexity factors, each assigned a category (factor score) of Low, Medium, or High by the expert entity. A principal component analysis...