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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
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Modeling hedge fund lifetimes : a dependent competing risks framework with latent exit types
Haghani, Shermineh - In: Journal of empirical finance 28 (2014), pp. 291-320
Persistent link: https://www.econbiz.de/10011285627
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Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice
Hall, Anthony D.; Satchell, Stephen; Spence, P. J. - In: Applied economics 47 (2015) 43/45, pp. 4801-4813
Persistent link: https://www.econbiz.de/10011380850
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011308590
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Systematic risk and the cross section of hedge fund returns
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10009666668
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Risk and return in hedge funds and funds-of-Hedge funds : a cross-sectional approach
Lee, Hee Soo - In: Australasian accounting business and finance journal : AABF 6 (2012) 3, pp. 43-64
Persistent link: https://www.econbiz.de/10010244265
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Are hedge fund managers systematically misreporting? Or not?
Jorion, Philippe; Schwarz, Christopher - In: Journal of financial economics 111 (2014) 2, pp. 311-327
Persistent link: https://www.econbiz.de/10010255518
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...
Persistent link: https://www.econbiz.de/10010485488
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Risk and beta anatomy in the hedge fund industry
Savona, Roberto - In: The European journal of finance 20 (2014) 1/3, pp. 1-32
Persistent link: https://www.econbiz.de/10010462222