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Arbitrage crashes and the speed of capital

Mitchell, Mark; Pulvino, Todd - In: Journal of financial economics 104 (2012) 3, pp. 469-490

Persistent link: https://www.econbiz.de/10009622475

Hedge fund selection : an investment approach based on risk-adjusted performance measures

Raasch, Martin - 2013

In den letzten Jahren ist das Management von Hedgefonds-Portfolios zu einem beliebten Forschungsgebiet herangewachsen …. Der Autor dieser Dissertation entwickelt einen quantitativen Ansatz für Investitionen in Hedgefonds, welcher von …, gleich gewichtete Indizes von Hedgefonds und Dachfonds von Hedgefonds in Bezug auf Risiko und Rendite übertreffen können. Es …

Persistent link: https://www.econbiz.de/10009713735

Hedge fund systemic risk signals

Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291

Persistent link: https://www.econbiz.de/10010361715

The value added of hedge fund styles in multi-asset protfolios : a new approach based on bull and bear market betas

Heidorn, Thomas; Kaiser, Dieter G.; Lucke, Daniel - In: Review of accounting & finance 12 (2013) 1, pp. 44-59

Persistent link: https://www.econbiz.de/10010126724

On the persistence of selectivity and market timing skills in hedge funds

Muteba Mwamba, John - In: International business and economics research journal 12 (2013) 12, pp. 1575-1587

Persistent link: https://www.econbiz.de/10010248962

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Proelss, Juliane; Schweizer, Denis - In: Financial markets and portfolio management 28 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010249662

Evaluating investments using higher moments

Diro Ejara, Demissew - In: Modern economy 7 (2016) 3, pp. 320-326

Persistent link: https://www.econbiz.de/10011548758

Testing equality of modified Sharpe ratios

Ardia, David; Boudt, Kris - In: Finance research letters 13 (2015), pp. 97-104

Persistent link: https://www.econbiz.de/10011552416

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Persistent link: https://www.econbiz.de/10011505836

Return or position-based value at risk?

Huillard d'Aignaux, Jérôme; Baranne, Benjamin; Fuchs, … - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 301-313

Persistent link: https://www.econbiz.de/10010472817