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Risk analysis of hedge funds : a Markov switching model analysis
Teulon, Frédéric; Guesmi, Khaled; Jebri, Saoussen - In: The journal of applied business research 30 (2014) 1, pp. 243-253
Persistent link: https://www.econbiz.de/10010252063
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The prospective low risk hedge fund capital allocation line model : evidence from the debt market
Vukovic, Darko B.; Prosin, Victor - In: Oeconomia Copernicana 9 (2018) 3, pp. 419-439
Persistent link: https://www.econbiz.de/10012230204
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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …
Persistent link: https://www.econbiz.de/10011890772
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Maximum drawdown measures in hedge fund efficiency appraisal
Pruchnicka-Grabias, Izabela - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 4, pp. 83-91
traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is …
Persistent link: https://www.econbiz.de/10011712326
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Understanding risks embedded in portfolios of hedge funds
Arabadjiev, Boris - In: Intelligent hedge fund investing, (pp. 27-46). 2004
Persistent link: https://www.econbiz.de/10003286549
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A special focus on hedge funds : creators of risk? ; [Atlanta Fed's 2006 Financial Markets Conference, "Hedge Funds: Creators of Risk?" held May 15-18, 2006]
Dwyer, Gerald P. <jun.> (contributor) - 2006
Persistent link: https://www.econbiz.de/10003417628
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Dynamic risk exposure in hedge funds
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2007
Persistent link: https://www.econbiz.de/10003912061
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Crises and hedge fund risk
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2008
Persistent link: https://www.econbiz.de/10003912698
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Weather risk management : a guide for corporation, hedge funds and investors
Tang, Kenny (contributor) - 2010
Persistent link: https://www.econbiz.de/10009159617
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Hedge fund performance using scaled Sharpe and Treynor measures
Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300
Persistent link: https://www.econbiz.de/10011279837