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...

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...

We study how incentive fees and manager's own investment in the fund affect the investment strategy of hedge fund managers. We find that loss averse managers increase the risk of the fund's investment strategy with higher incentive fees. However, risk taking is greatly reduced if a substantial...

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...

What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult to take the necessary actions that eliminate the problem. Moreover, many hedge fund operators tend not to...

AbstractThe following sections are included:The January effectCommodity trading: investing in the January small cap effect in the index futures marketsConclusion

AbstractAs I write on Sunday November 22, 2010, this I am watching the TV analysts discuss this controversial decision on Sunday, November 15. They are all ex-National Football League star players with an announcer. Their analysis is seat of the pants. But is that the right way to analyze...

AbstractThe following sections are included:Types of sovereign fundsIs there a common asset allocation for pension funds?Sovereign Pension funds and International Capital MarketsGovernance Issues of public pension fundsIntergenerational borrowingRegional TrendsAsiaMiddle EastEuropeConclusion

AbstractWe know that on average the typical mutual fund does not beat the market. The evidence is that professional managers all over the world have a hard time beating the market averages. In a given year, only about 25% to 40% of managers actually beat a buy-and-hold strategy of holding the...