risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the …-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices …

We develop a new factor selection methodology of spanning the space of hedge fund risk factors with all available … interpretation of ETF returns as proxies to alternative risk factors driving hedge fund returns. We further consider portfolios of …

-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap … properly. We also find that the ESFs manager's risk aversion can over-turn the risk-shifting incentives when the fund is likely … management (AUM) are nearing the prescribed cash-out boundary. We find that it is more likely for a more risk-averse ESF manager …

investors use these funds as a hedge against downside risk …

to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …