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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

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

The Draft AIFM Directive and the Future of European Alternative Investment Fund Regulation

Athanassiou, Phoebus - In: CESifo DICE Report 08 (2010) 1, pp. 8-13

Persistent link: https://www.econbiz.de/10011696691

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-Fonds: eine gute Anlageform?

Schäfer, Dorothea - In: DIW Wochenbericht 71 (2004) 32, pp. 463-468

Anlageform. Denn im Unterschied zu traditionellen Investmentfonds können Hedge-Fonds auf unterschiedlichste Finanzinstrumente …Hedge-Fonds gelten vor allem in Zeiten niedriger Zinsen und geringer Aktienkurssteigerungen als eine attraktive … zurückgreifen und unterliegen kaum Regulierungen. In den letzten Jahren hat das Volumen von Hedge-Fonds weltweit beträchtlich …

Persistent link: https://www.econbiz.de/10011601531

Optional defaultable markets

Abdelghani, Mohamed N.; Melnikov, Alexander V. - In: Risks 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011996551

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011996636

A robust approach to hedging and pricing in imperfect markets

Assa, Hirbod; Gospodinov, Nikolay - In: Risks 5 (2017) 3, pp. 1-20

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

Persistent link: https://www.econbiz.de/10011996659