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Performance characteristics of hedge fund indices

Kapil, Sheeba; Gupta, Jayesh - In: Theoretical economics letters 9 (2019) 6, pp. 2176-2197

Persistent link: https://www.econbiz.de/10012241398

A model-free identification of relative risk

Kuzmina, Olga - In: Economics letters 190 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012228132

Hedge fund performance attribution under various market conditions

Stafylas, Dimitrios; Anderson, Keith; Uddin, Moshfique - In: International review of financial analysis 56 (2018), pp. 221-237

Persistent link: https://www.econbiz.de/10012006267

Cross-sectional alpha dispersion and performance evaluation

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 134 (2019) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10012166855

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Investigating hedge fund performance

Huber, Otto - 2011

einen interessanten Wendepunkt geraten. Diese Dissertation umfasst drei Aufsätze, die sich mit der risiko …-adjustierten Performance von Hedgefonds befassen. Eine mögliche Konsequenz des veränderten Umfeldes ist eine Reduktion der risikoadjustierten … Performance (Alpha) von Hedgefonds. Entgegen dieser Hypothese zeigen die Resultate des ersten Aufsatzes ein positives historisches …

Persistent link: https://www.econbiz.de/10008989038

Quantitative Ansätze zur Evaluation von Hedgefonds-Investments

Mandl, Jochen - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003744975

How the performance measures influence the evaluation of hedge funds' strategies?

Mzoughi, Hela - In: The empirical economics letters : a monthly … 18 (2019) 10, pp. 1063-1076

Persistent link: https://www.econbiz.de/10012318570

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Chinese hedge funds : performance and risk exposures

Ling, Yun; Yao, Juan; Liu, Weidi - In: The Chinese economy 48 (2015) 5, pp. 330-350

Persistent link: https://www.econbiz.de/10011404583