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...

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...

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...

This paper provides a discussion about some recent issues related to the transfer of credit risk (CRT) from the perspective of global liquidity. The CRT market is enormously growing and exhibits major structural shifts in terms of buyers and sellers of protection. I try to address these issues...