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Hedge Fund Diversification: How Much Is Enough?
Lhabitant, François-Serge; Learned, Michelle - 2002
In this paper studies the impact of diversification on naively constructed (randomly chosen and equally weighted) hedge fund portfolios.
Persistent link: https://www.econbiz.de/10009138392
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Performance Measurement in the Investment Industry
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
It is frequently noted that investment funds with a nonnormal return distributioncannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We...
Persistent link: https://www.econbiz.de/10005861465
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‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns
Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …
Persistent link: https://www.econbiz.de/10009248845
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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
Heidorn, Thomas; Kaiser, Dieter G.; Muschiol, Andrea - Frankfurt School of Finance & Management - 2007
Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk … higher moments we can show that hedge funds can be useful in enhancing the return and reducing the risk of the overall …
Persistent link: https://www.econbiz.de/10005865723
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Option Pricing and Replication with Transaction Costs and Dividends
Perrakis, Stylianos; Lefoll, Jean - 1999
This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of …
Persistent link: https://www.econbiz.de/10005843146
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Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective
Hamelink, Foort - 2000
This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research.
Persistent link: https://www.econbiz.de/10005843227
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Hedging Housing Risk
Englund, Peter; Hwang, Min; Quigley, John M. - University of California - Berkley Program of Housing … - 2000
This paper analyses derives market-wide price and return series for housing investment during a 13-year period, and it also provides estimates of the individual-specific, idiosyncratic, variation in housing returns.
Persistent link: https://www.econbiz.de/10005843241
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Portfolio Disclosure, Portfolio Selection and Mutual Fund Performance Evaluation
Kempf, Alexander; Kreuzberg, Klaus - 2004
Nach §44 Investmentgesetz (InvG) sind Investmentfonds verpflichtet, im Rahmen ihres regelmäßigen Berichtswesens den … and thus reduces their fund risk. We show that both optimal fund portfolios and fund performance depend on portfolio … riskier positions. We introduce two new performance measures which incorporate risk reduction from portfolio disclosure. They …
Persistent link: https://www.econbiz.de/10005854234
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Are There Disadvantaged Clienteles inMutual Funds?
Jank, Stephan - Centre for Financial Research <Köln> - 2011
This paper studies the flow-performance relationship of three di®erent investorgroups in mutual funds: Households, financial corporations, and insurance compa-nies and pension funds, establishing the following findings: Financial corporationshave a strong tendency to chase past performance and...
Persistent link: https://www.econbiz.de/10009302610
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The Influence of Buy-Side Analysts on Mutual Fund Trading
Frey, Stefan; Herbst, Patrick - Centre for Financial Research <Köln> - 2010
We present evidence of the impact of buy-side analysts on the behavior and performanceof fund managers. Using data provided by a large global asset manager,we relate buy-side analysts’ recommendations to fund transactions on a daily basis.Our results show that buy-side analysts have a...
Persistent link: https://www.econbiz.de/10009302628