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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 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/10011890772
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Hedge-Fonds und ihre Rolle auf den Finanzmärkten
In: Monatsbericht 51 (1999) 3, pp. 31-44
Persistent link: https://www.econbiz.de/10001402907
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Hedge funds - trouble-makers?
Walter, Per; Krause, Pär - In: Quarterly review / Central Bank of Sweden (1999) 1, pp. 18-42
Persistent link: https://www.econbiz.de/10001370620
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The performance of hedge funds : risk, return, and incentives
Ackermann, Carl; MacEnally, Richard; Ravenscraft, David … - In: The journal of finance : the journal of the American … 54 (1999) 3, pp. 823-874
Persistent link: https://www.econbiz.de/10001395651
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Is mean-variance analysis applicable to hedge funds?
Fung, William - In: Economics letters 62 (1999) 1, pp. 53-58
Persistent link: https://www.econbiz.de/10001256029
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The impact of large portfolio insurers on asset prices
Donaldson, R. Glen - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1943-1955
Persistent link: https://www.econbiz.de/10001155913
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Mesure de performance de fonds communs de placement diversifiés internationalement
Vandeloise, S. - In: Cahiers économiques de Bruxelles (1990), pp. 63-80
Persistent link: https://www.econbiz.de/10001083739
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Evaluating hedge funds with pooled benchmarks
O'Doherty, Michael; Savin, N. Eugene; Tiwari, Ashish - In: Management science : journal of the Institute for … 62 (2016) 1, pp. 69-89
Persistent link: https://www.econbiz.de/10011432924
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Alternative alphas from hedge fund ETF speculation
Lin, Peter C. L. - In: Journal of mathematical finance 6 (2016) 1, pp. 34-42
Persistent link: https://www.econbiz.de/10011543076
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Hedge and mutual funds' fees and the separation of private investments
Guasoni, Paolo; Wang, Gu - In: Finance and stochastics 19 (2015) 3, pp. 473-507
Persistent link: https://www.econbiz.de/10011418231