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Andersson, Mats - 2016

This paper presents a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We illustrate how tracking error can be almost eliminated even for a low carbon index that has 50% less carbon footprint than its...

Persistent link: https://www.econbiz.de/10013005901

Hedge Funds, High Risks, and Headaches : Negotiating and Documenting Hedge Fund Derivatives: Part 2

Zepeda, Rodrigo - 2014

This article forms the second of a three part series of articles which seek to provide a critical insight into the use of derivatives made by hedge funds. Together, they will aim to examine the many questions that hedge fund managers may now have to ask themselves in this brave new world of...

Persistent link: https://www.econbiz.de/10013051819

Hedge Funds, High Risks, and Headaches - Negotiating and Documenting Hedge Fund Derivatives : Part 1

Zepeda, Rodrigo - 2014

This article forms the first of a three part series of articles which seek to provide a critical insight into the use of derivatives made by hedge funds. Together, they will also aim to examine the many questions that hedge fund managers may now have to ask themselves in this brave new world of...

Persistent link: https://www.econbiz.de/10013054536

Do hedge funds dynamically manage systematic risk?

Namvar, Ethan; Phillips, Blake; Pukthuanthong, Kuntara; … - In: Journal of banking & finance 64 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011634227

Hedging climate risk

Andersson, Mats; Bolton, Patrick; Samama, Frédéric - In: Financial analysts' journal : FAJ 72 (2016) 3, pp. 13-32

Persistent link: https://www.econbiz.de/10011688065

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011890772