"CAIA Association has developed two examinations that are used to certify Chartered Alternative Investment Analysts. The Level I curriculum builds a foundation in both traditional and alternative investment markets--for example, the range of statistics that are used to define investment...

While the impact of backfill bias, survivor bias other database construction issues (e.g., onshore versus offshore) on hedge fund performance have received considerable research attention, the impact on hedge fund performance of differences in the underlying quality or number of reporting...

This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...

The growth in hedge fund has in part been due to their historical return to risk performance. Concern, however, has been expressed that one reason for the superior return to risk tradeoff for hedge funds, is that, unlike traditional mutual funds, hedge funds often trade in illiquid securities...

In a complete, arbitrage-free securities market, the value of a discount bond is modeled in terms of the pricing kernel and the transition density function of the spot interest rate process. The prices of discount bonds are taken from the current term structure of interest rates, and the...

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...

A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment...