The objective of this study is to analyze various risks which may arise in managing hedge funds and to further derive out effective risk management methods of those risks. From the global perspective, hedge funds were introduced decades ago and have been quite well advanced in the financial...

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...

As the hedge-fund business expands relative to traditional asset management, researchers are developing risk measures to take into consideration the nonstandard performance characteristics of hedge funds. This article gives three examples of proposals that have been published recently. Each...

Part 1 of this paper can be found at 'http://ssrn.com/abstract=2602785' http://ssrn.com/abstract=2602785.This article is the second in a two-part series. The goal of this series is to discuss the innovative ways in which academics and practitioners are enhancing the risk allocation framework in...

This article is the first in a two-part series. The series will discuss the innovative ways in which academics and practitioners are enhancing asset allocation methodologies in order to incorporate hedge funds. This article will begin by discussing the current practice in asset allocation work,...

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...

Using Form PF filings over 2013–2017, we find that funds maintain higher levels of cash holdings and available borrowing (“liquidity buffers”) when they hold more illiquid assets, have shorter-term commitments from investors and creditors, and when market volatility is greater. We also...

We investigate the construction of well-diversified high-conviction equity portfolios, building on Rudin and Morgan (2006) who introduced the Portfolio Diversification Index (PDI) as a new measure of portfolio diversification applied to long/short equity hedge funds in an in-sample period. We...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...