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Hedge funds and their implications for financial stability

Garbaravicius, Tomas; Dierick, Frank - 2005

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...

Persistent link: https://www.econbiz.de/10011606186

Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien

Lehrbass, Frank; Wörndl, Fabian; FOM Hochschule für … - 2021

: Die Hedgefonds. Deshalb wird sich diese Forschungsarbeit dieser exklusiven Form von Kapitalanlagemöglichkeiten zuwenden …. Bei einer Investition in Hedgefonds hofft man darauf, dass sie Erträge entsprechend den Erwartungen generieren und dabei … den Markt schlagen. Noch konkreter erwartet man, dass Hedgefonds Alpha generieren und ein kaum spürbares Beta haben …

Persistent link: https://www.econbiz.de/10012819803

Performance maximization of actively managed funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010

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...

Persistent link: https://www.econbiz.de/10010287049

Discrete and continuous time dynamic mean-variance analysis

Reiss, Ariane - 1999

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...

Persistent link: https://www.econbiz.de/10010305021

Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers

Walther, Ursula - 2002

Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...

Persistent link: https://www.econbiz.de/10010305678

Do investors optimize, follow heuristics, or listen to experts?

Gehrig, Thomas P.; Güth, Werner; Levínský, René; … - 2008

In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...

Persistent link: https://www.econbiz.de/10010274010

Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10010317124

Möglichkeiten der Strukturierung von Hedgefondsportfolios

Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - 2005

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....

Persistent link: https://www.econbiz.de/10010298900

Bayesian inference for hedge funds with stable distribution of returns

Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; … - 2010

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...

Persistent link: https://www.econbiz.de/10010301731

Do higher-moment equity risks explain hedge fund returns?

Agarwal, Vikas; Bakshi, Gurdip; Huij, Joop - 2009

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...

Persistent link: https://www.econbiz.de/10010302540

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