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The optimal interaction between a hedge fund manager and investor

Ramirez, Hugo Eduardo; Johnson, Paul; Duck, Peter; … - In: Applied mathematical finance 25 (2018) 5/6, pp. 483-510

Persistent link: https://www.econbiz.de/10012129178

Portfolio optimization and performance analysis

Prigent, Jean-Luc - 2007

Persistent link: https://www.econbiz.de/10003355187

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Proelss, Juliane; Schweizer, Denis - In: Financial markets and portfolio management 28 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010249662

Essays in portfolio selection

Giuzio, Margherita - 2017

Persistent link: https://www.econbiz.de/10011914236

Dynamic Versus Static Optimization of Hedge Fund Portfolios : The Relevance of Performance Measures

Hentati Kaffel, Rania - 2010

This paper analyzes the relevance of a set of some performance measures for optimal portfolios including hedge funds. Four criteria are considered: the Sharpe Ratio, the Returns on VaR and on CVaR, and the Omega performance measure. The results are illustrated by an allocation on several...

Persistent link: https://www.econbiz.de/10013143021

Replicating Hedge Fund Indices with Optimization Heuristics

Gilli, Manfred - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10013143776

Algorithms for portfolio optimization and portfolio insurance

Rudolf, Markus - 1994

Persistent link: https://www.econbiz.de/10012317467

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

Lai, YiHao - 2009

. Secondly, we employ the presenting models to investigate the hedging performance for five East Asian spot and futures stock … markets: Hong Kong, Japan, Korea, Singapore and Taiwan. Compared with conventional hedging strategies, including Engle … returns on a hedging portfolio over the sample period …

Persistent link: https://www.econbiz.de/10013159444

Optimal liquidation of financial derivatives

Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436500

Investor's choice: an investor-driven, forward-looking optimization approach to fund of hedge funds construction

Glaffig, Clemens H. - In: Funds of hedge funds : performance, assessment, …, (pp. 309-324). 2006

Persistent link: https://www.econbiz.de/10003377796

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