Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

The year 2000 started the evolution of the German market for Structured Products with incorporated Hedge Fund exposures. This paper provides an extensive commentary on this fast growing segment. Our analysis suggests that the market for existing products is affected by significant heterogeneity....

Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

We address the question of whether hedge fund and private equity investments in public firms are motivated by corporate governance improvements. As opposed to traditional financial investors both HF and PE are likely to have the incentives to alleviate agency conflicts. However, against the...

Private equity funds and hedge funds are both alternative asset classes that are continuously growing in importance. Although they have different focuses, they share some characteristics. First of all, both have or allegedly have a significant impact on the economy as well as the financial...

Warum haben internationale Finanzinvestoren Deutschland als Markt entdeckt? Welche Strategien verfolgen sie mit dem Unternehmenskauf? Was geschieht anschließend mit den erworbenen Gesellschaften? Und schließlich: Welche Konsequenzen hat die Geschäftspolitik der neuen Eigentümer für die...

Während Beteiligungskapital in den anglo-amerikanischen Ländern seit vielen Jahren aktiv ist, hat sich in Deutschland erst langsam eine breite Debatte über seine Chancen und Risiken entwickelt, angetrieben durch mehrere spektakuläre Unternehmenskäufe.Insbesondere viele Beschäftigte...