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Zulassung von Hedge-Fonds in Deutschland: Fluch oder Segen?

Erke, Burkhard; Marquardt, Ralf-M. - In: Wirtschaftsdienst 84 (2004) 5, pp. 309-316

Seit Jahresanfang ist in Deutschland die Auﬂage von Hedge-Fonds erlaubt. In der Beurteilung solcher Fonds gibt es … allgemeine Aussagen über Hedge-Fonds möglich? …

Persistent link: https://www.econbiz.de/10010303081

Combining alphas via bounded regression

Kakushadze, Zura - In: Risks 3 (2015) 4, pp. 474-490

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...

Persistent link: https://www.econbiz.de/10011709536

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011755294

Hedge ratios for short and leveraged ETFs

Schubert, Leo - In: Atlantic Review of Economics 1 (2011), pp. 1-33

management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging … case that a bearish market is supposed, minimizing the variance of the hedge seems not to obtain better hedging results … return high leverage factors should not be used for hedging, due to the higher volatility and target-shortfall probability. …

Persistent link: https://www.econbiz.de/10010290046

Hedge-Fonds: Heuschrecken des internationalen Finanzsystems?

Marquardt, Ralf-M. - In: Wirtschaftsdienst 87 (2007) 4, pp. 211-215

Industrieländer mit zunehmendem Unbehagen betrachtet. In Hinblick auf Hedge-Fonds soll bis zum G-8-Gipfel im Juni dieses Jahres ein … Verhaltenskodex erarbeitet werden. Inwieweit können Hedge-Fonds zur Instabilität der Finanzmärkte beitragen? Welche Strategien zur …

Persistent link: https://www.econbiz.de/10010303504

Investment style of Jordanian mutual funds

Hacini, Ishaq; Dahou, Khadra; Benbouziane, Mohamed - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 113-127

The study investigates the mutual funds investment style in the Jordanian context. It uses monthly returns of five mutual funds from July 2000 to December 2009. To do so, it employs the 4-factors model with explanatory variables the market portfolio return, a small minus large capitalization...

Persistent link: https://www.econbiz.de/10010289385

»Moderner Fußball« – Bemerkungen aus ökonomischer Perspektive

Ebertz, Alexander; Gronwald, Marc - In: ifo Schnelldienst 63 (2010) 11, pp. 49-50

In der aktuellen Fußballberichterstattung ist oft von »modernem Fußball« die Rede. Es entsteht der Eindruck, dass eine bestimmte Spielweise den sportlichen Erfolg garantiert und anderen Strategien grundsätzlich überlegen ist. Aus der Perspektive der evolutionären Finanzwirtschaft kann zu...

Persistent link: https://www.econbiz.de/10011693055

Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10010317124

Finanzierungs- und Governance-Strukturen im Wandel: Arbeitsteilung zwischen Banken und Private Equity Fonds

Neuberger, Doris - In: Vierteljahrshefte zur Wirtschaftsforschung 78 (2009) 1, pp. 143-155

Banken bei der Bereitstellung enger Finanzierungsbeziehungen übernehmen. Mithilfe der Governance-Struktur-Theorie der … relationships compared to banks. Using the governance structure theory of transaction cost economics, we show that relationship …

Persistent link: https://www.econbiz.de/10010377873

Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior

Witte, Björn-Christopher - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-24, pp. 1-29

This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...

Persistent link: https://www.econbiz.de/10010309602

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