A lockup period for investment in a hedge-fund is a time period after making the investment during which an investor cannot freely redeem his investment. Since longer lockup periods have recently been imposed, it is important to estimate the premium an investor should expect from extended...

A stochastic difference equation of the form X_n = A_n X_{n-1}+B_n is proposed to model the annual returns X_n of a hedge fund relative to other funds in the same strategy group in year n, and is fit to data from the TASS database over the period 2000 to 2004. In the proposed model, {A_n} and...

We propose a stochastic difference equation of the form Xn = AnXn-1 + Bn to model the annual returns Xn of a hedge fund relative to other funds in the same strategy group in year n. We fit this model to data from the TASS database over the period 2000 to 2005. We let {An} and {Bn} be independent...