Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010
-and-hedge strategy involving taking a long position in convertible bonds (“CBs”) while hedging the equity risk alone explains a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact …
