Narrow search
Showing 1 - 10 of 979
Cover Image
A spectral model of turnover reduction
Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589
We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...
Persistent link: https://www.econbiz.de/10011410628
Cover Image
Can turnover go to zero?
Kakushadze, Zura - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 157-176
Persistent link: https://www.econbiz.de/10010462974
Cover Image
Hedge fund returns under crisis scenarios : a holistic approach
Stophoros, Chrysostomos; Degiannakis, Stavros; … - In: Research in international business and finance 42 (2017), pp. 1196-1207
Persistent link: https://www.econbiz.de/10011760944
Cover Image
The effect of S&P 500 correlation on hedge fund alpha
Baesel, Jerome B.; González-Heres, José F.; Chen, Ping; … - In: The journal of wealth management 14 (2011/12) 4, pp. 93-104
Persistent link: https://www.econbiz.de/10009507051
Cover Image
Hedge fund return volatility and comovement : recent evidence
Sabbaghi, Omid - In: Managerial finance 38 (2012) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10009488348
Cover Image
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
Cover Image
Hedge fund systemic risk signals
Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291
Persistent link: https://www.econbiz.de/10010361715
Cover Image
Connected stocks
Antón, Miguel; Polk, Christopher - In: The journal of finance : the journal of the American … 69 (2014) 3, pp. 1099-1127
Persistent link: https://www.econbiz.de/10010373344
Cover Image
A longer look at the asymmetric dependence between hedge funds and the equity market
Kang, Byoung Uk; In, Francis Haeuck; Kim, Gunky; Kim, … - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 3, pp. 763-789
Persistent link: https://www.econbiz.de/10008657180
Cover Image
Measuring risk in the hedge fund sector
Adrian, Tobias - In: Current issues in economics and finance 13 (2007) 3, pp. 1-7
Persistent link: https://www.econbiz.de/10003493985