The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...

Diese empirische Studie untersucht Diversifikationseffekte, wenn einem traditionellen Portfolio mitStocks und Bonds, Alternative Investments, wie z.B. Hedge Funds, Managed Futures, Real Estate,Private Equities und Commodities beigemischt werden. Neben den historischen Schätzern werdenauch...

From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean prot and loss dataand Value-at-Risk estimates of the...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...

Der auf Markowitz zurückgehende My-Sigma Ansatz der Portfolioselektion ist zweifellos einStandardverfahren des modernen Portfoliomanagements. Im Bereich des Managements vonAnleiheportfolios hat dieser Ansatz jedoch vergleichsweise geringe Beachtung gefunden. Einwesentlicher Grund dafür dürfte...

This Paper will look at the changing nature of asset management, and will examine the natureof the European framework for collective investment undertakings, enshrined in the UCITSDirective2 in that light. This question whether the UCITS Directive in its current formremains an appropriate...

We study the dispersion of month-end valuations placed on identical corporatebonds by different mutual funds. Such dispersion is related to bond-specificcharacteristics associated with liquidity and market volatility. TRACE may havecontributed to the general decline in dispersion over our sample...

We examine the role of hedge funds as primary lenders to corporate firms. We investigate boththe reasons and the implications of hedge funds’ activities in the primary loan market. Weexamine the characteristics of firms that borrow from hedge funds and find that borrowers areprimarily firms...