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Idiosyncratic return volatility in the cross-section of stocks
Kang, Namho; Kondor, Péter; Sadka, Ronnie - 2011
Persistent link: https://www.econbiz.de/10008989333
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Leveraged municipal bond arbitrage : what went wrong?
Deng, Geng; McCann, Craig - In: The journal of alternative investments 14 (2011/12) 4, pp. 69-78
Persistent link: https://www.econbiz.de/10009550871
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When there is no place to hide : correlation risk and the cross-section of hedge fund returns
Buraschi, Andrea; Kosowski, Robert L.; Trojani, Fabio - In: The review of financial studies 27 (2014) 2, pp. 581-616
Persistent link: https://www.econbiz.de/10010357870
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The impact of non-normality risks and tactical trading on hedge fund alphas
Kat, Harry M.; Miffre, Joe͏̈lle - In: The journal of alternative investments 10 (2007/08) 4, pp. 8-22
Persistent link: https://www.econbiz.de/10003720761
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Risk analysis of hedge funds : a Markov switching model analysis
Teulon, Frédéric; Guesmi, Khaled; Jebri, Saoussen - In: The journal of applied business research 30 (2014) 1, pp. 243-253
Persistent link: https://www.econbiz.de/10010252063
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821
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Hedge funds : performance, risk and capital formation
Fung, William (contributor) - 2006 - This vers.: February 11, 2006
Persistent link: https://www.econbiz.de/10003321573
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An analysis of the risk factors underlying hedge fund returns
Okunev, John; White, Derek - In: Intelligent hedge fund investing, (pp. 303-364). 2004
Persistent link: https://www.econbiz.de/10003286918
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Hedge funds : risk and return
Malkiel, Burton G.; Saha, Atanu - 2004
Persistent link: https://www.econbiz.de/10003834800
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Do higher-moment equity risks explain hedge fund returns?
Agarwal, Vikas; Bakshi, Gurdip S.; Huij, Joop - 2010
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/10008666525