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The risk of funds of hedge funds : an empirical analysis of the maximum drawdown
Heidorn, Thomas; Kaiser, Dieter G.; Roder, Christoph - In: The journal of wealth management 12 (2009/10) 2, pp. 89-100
Persistent link: https://www.econbiz.de/10003883216
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The effects of drawdown risk reduction on the US hedge funds
Tavakoli Baghdadabad, Mohammad Reza - In: Journal of derivatives & hedge funds 19 (2013) 1, pp. 50-73
Persistent link: https://www.econbiz.de/10009782529
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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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Economic policy uncertainty and stock return momentum
Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17
This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge...
Persistent link: https://www.econbiz.de/10012520194
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Hedgefonds : systematische Risiken und Portable Alphas
Tsotsonos, Paraskevas - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003870976
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Tail risk of hedge funds : an extreme value application
Gawron, Gregor Aleksander; Frölunda, Östra - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003597430
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The prospective low risk hedge fund capital allocation line model : evidence from the debt market
Vukovic, Darko B.; Prosin, Victor - In: Oeconomia Copernicana 9 (2018) 3, pp. 419-439
Persistent link: https://www.econbiz.de/10012230204
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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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Maximum drawdown measures in hedge fund efficiency appraisal
Pruchnicka-Grabias, Izabela - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 4, pp. 83-91
traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is …
Persistent link: https://www.econbiz.de/10011712326
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Understanding risks embedded in portfolios of hedge funds
Arabadjiev, Boris - In: Intelligent hedge fund investing, (pp. 27-46). 2004
Persistent link: https://www.econbiz.de/10003286549