Hedge fund managers' risk-taking choices are determined by their compensation structure. Most existing studies focus on … how the incentive fee and the high-water mark provision affect managers' risk-taking. We build a simple model to show that … managers' risk-taking is negatively related to their future management fees. Using fund-level data, we calibrate the present …

illustrating some of the issues concerning the measures of risk and performance specifications of Hedge Funds, to provide some …

de Vries (2014) for the sake of brevity.The paper "Risk Measures for Autocorrelated Hedge Fund Returns" to which these …

. Part 1 will provide a classification of hedge funds and their investment strategies and styles, along with risk profiles …

risk-return performance measures, asset allocation or loss probabilities of portfolios containing such instruments, will be … heterogeneity, risk preferences, non-linearities, and significant serial correlation. The results presented have significant … implications for risk management, asset managements and investors' perceptions …

practitioners are enhancing the risk allocation framework in order to incorporate hedge funds. The risk allocation framework … consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures; 2. Optimize Risk … Allocation; 3. Implement Investment Strategy.Part 1 of this series discussed how to apply the first step, identifying risk …

methodology to hedge funds. Finally the article will discuss a number of leading edge solutions to these problems. The risk … allocation framework consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures …; 2. Optimize Risk Allocation; 3. Implement Investment Strategy. Part 1 of this series will discuss the first step in the …

This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. While … the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its …

risk drivers of dynamic trades, examining which macroeconomic variables strongly lead the time variation in fund trades. We …