Hedge fund managers with asymmetric performance-based compensation packages have the incentive to increase the risk taking of their funds in response to poor performance. Based on regression analysis of data from a panel of dollar-based hedge funds from 1994-2008, we find evidence that they do...

In this analysis, we simply take a step back and remind investors and researchers alike, that there is no simple answer to the dependency of empirical results on the data, period of analysis, or methods of quantitative analysis used to address issues of academic research. Over a common time...

Hedge fund performance and risk measurement continues to present intriguing challenges to both academics and practitioners. Risk-return measures that are solely based on historical return series tend to provide limited information and the marginal new information revealed by another quantitative...

The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the end of 2007. However, assets managed by hedge funds...

This paper examines the effects of deviations from random walk in asset prices on option prices. Several approaches can be taken to model asset price processes as non-random walk processes. We choose to model the equity prices as fractional Brownian motions (FBM). Though FMB is not the most...

We examine the impact of the optionality of performance fee on the risk-shifting behavior of hedge fund managers. Since performance fees earned by hedge fund managers have the characteristics of a call option, the moneyness of the option may have an impact on the risk-taking behavior of...