We investigate the empirical relationship between aggregate mutual fund flows and stock marketvolatility in Asian emerging markets by providing a comparative analysis of equity and balancedfunds with market-wide volatility. Using a panel vector autoregressive model, we findthat market volatility...

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...

Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF....