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Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

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Excess volatility and closed-end funds

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The persistence in hedge fund performance : extended analysis

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Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

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/10012416051