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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
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Crises and hedge fund risk
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2008
Persistent link: https://www.econbiz.de/10003912698
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Hedge fund performance using scaled Sharpe and Treynor measures
Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300
Persistent link: https://www.econbiz.de/10011279837
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Handbuch Hedge Funds : Chancen, Risiken und Einsatz in der Asset Allocation
Dichtl, Hubert (ed.) - 2005
Persistent link: https://www.econbiz.de/10002570422
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Risk management for hedge funds and funds of funds
Rahl, Leslie - In: Hedge funds : definitive strategies and techniques, (pp. 139-158). 2003
Persistent link: https://www.econbiz.de/10001817383
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Innovative Kapitalanlage-Konzepte : ART, Behavioral Finance, Hedge Funds, Neue Märkte, Private Equity, Venture Capital
Hehn, Elisabeth (ed.) - 2000
Persistent link: https://www.econbiz.de/10001459414
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Managing risk in alternative investment strategies : successful investing in hedge funds and managed futures
Jaeger, Lars - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001653666
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Risk Management of Hedge Funds : Role of Funding and Redemption Options on Leverage
Sundaresan, Suresh M. - 2011
We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the “funding option” reflects the short option position...
Persistent link: https://www.econbiz.de/10013133815
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Risk Management Framework for Hedge Funds : Role of Funding and Redemption Options on Leverage
Dai, Qiang - 2011
We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the 'funding option' reflects the short option position with...
Persistent link: https://www.econbiz.de/10013134520
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Duration of poor performance and risk shifting by hedge fund managers
Li, Ying; Holland, A. Steven; Kazemi, Hossein - In: Global finance journal 40 (2019), pp. 35-47
Persistent link: https://www.econbiz.de/10012257036