Similar Search Results

Incentives and Endogenous Risk Taking : A Structural View of Hedge Funds Alphas

Buraschi, Andrea - 2013

Hedge fund managers are subject to several non-linear incentives: (a) performance fee options (call); (b) equity investor's redemption options (put); (c) prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incentives affects optimal leverage ex-ante,...

Persistent link: https://www.econbiz.de/10013093719

Incentives and Endogenous Risk Taking : A Structural View of Hedge Funds Alphas

Buraschi, Andrea - 2015

Persistent link: https://www.econbiz.de/10013035065

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Buraschi, Andrea - 2014

Using a novel dataset on correlation swaps, we study the relation between correlation risk, hedge fund characteristics and their risk-return profile. We find that hedge funds' ability to create market neutral returns is often associated with a significant exposure to correlation risk, which...

Persistent link: https://www.econbiz.de/10013062722

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Buraschi, Andrea - 2013

Persistent link: https://www.econbiz.de/10013094534

Investment in financial literacy and saving decisions

Jappelli, Tullio; Padula, Mario - 2011

We present an intertemporal consumption model of consumer investment in financial literacy. Consumers benefit from such … depreciates over time and has a cost in terms of current consumption, the model determines an optimal investment in literacy. The … aggregate data, we find a strong effect of financial literacy on wealth accumulation and national saving, and also show that …

Persistent link: https://www.econbiz.de/10008856384

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

Persistent link: https://www.econbiz.de/10011556251