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Forced portfolio liquidation
Ewerhart, Christian (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003591205
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Forced Portfolio Liquidation
Ewerhart, Christian - 2010
collection of illiquid markets. It is shown that markets may become disrupted in response to a relatively small liquidity shock … for liquidity …
Persistent link: https://www.econbiz.de/10013137290
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FX liquidity risk and carry trade premia
Söderlind, Paul; Somogyi, Fabricius - 2022
world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …
Persistent link: https://www.econbiz.de/10013252868
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Combining alphas via bounded regression
Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...
Persistent link: https://www.econbiz.de/10011402659
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Asia-focused hedge funds : analysis of performance, performance persistence and survival
Njavro, Mato - 2012
Persistent link: https://www.econbiz.de/10009633786
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Value-at-risk and the cross section of emerging market hedge fund returns
Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza - In: Global finance journal 52 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013412541
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A performance evaluation model for global macro funds
Zaremba, Adam - In: International journal of finance & banking studies : JJFBS 3 (2014) 1, pp. 161-172
Persistent link: https://www.econbiz.de/10010532770
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Systematic risk and the cross section of hedge fund returns
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10009666668
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Risk and beta anatomy in the hedge fund industry
Savona, Roberto - In: The European journal of finance 20 (2014) 1/3, pp. 1-32
Persistent link: https://www.econbiz.de/10010462222
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Beta Active Hedge Fund Management
Duanmu, Jun - 2017
We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...
Persistent link: https://www.econbiz.de/10012975391