Narrow search
Showing 1 - 10 of 298,679
Cover Image
Do Investors Really Need Complex Derivative Strategies? Evidence from Hedge Funds and Funds of Hedge Funds
Peltomaki, Jarkko - 2010
This study investigates the benefits of using a more complex derivative strategy of a fund in relation to their … the study are consistent with the hypothesis that the complexity of derivative strategy can be related to increased … leaving little reasonable motivation for investors to invest in complex derivative strategies …
Persistent link: https://www.econbiz.de/10012715450
Cover Image
Hedge fund replication : the asymmetric way
Tancar, Roman; Poddig, Thorsten; Ballis-Papanastasiou, … - In: The journal of alternative investments 15 (2012/13) 1, pp. 68-84
Persistent link: https://www.econbiz.de/10009573448
Cover Image
Hedge fund strategy replication
Tancar, Roman - 2013 - 1. ed.
Persistent link: https://www.econbiz.de/10010486751
Cover Image
Hedge Fund Replication : The Asymmetric Way
Tancar, Roman - 2017
This article introduces the concept of asymmetric hedge fund replication based on the risk factor model approach. The presented methodology is founded on downside risk management and offers an enhancement of existing hedge fund replication techniques. From a conceptual perspective, asymmetric...
Persistent link: https://www.econbiz.de/10012961429
Cover Image
Unobserved performance of hedge funds
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2020 - This version: April 2020
We investigate hedge fund firms' unobserved performance (UP), measured as the riskadjusted return difference between a fund firm’s reported return and hypothetical portfolio return derived from its disclosed long equity holdings. Fund firms with high UP outperform those with low UP by 7.2%...
Persistent link: https://www.econbiz.de/10012284769
Cover Image
Unobserved performance of hedge funds
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2018 - This version: December 2018
We investigate hedge fund firms' unobserved performance (UP), measured as the risk-adjusted return difference between a fund firm's reported return and hypothetical portfolio return derived from its disclosed long equity holdings. Fund firms with high UP outperform those with low UP by 7.2% p.a....
Persistent link: https://www.econbiz.de/10011946689
Cover Image
Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio
Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320
Persistent link: https://www.econbiz.de/10010259395
Cover Image
Who benefits in a crisis? Evidence from hedge fund stock and option holdings
Aragon, George O.; Martin, J. Spencer; Shi, Zhen - In: Journal of financial economics 131 (2019) 2, pp. 345-361
Persistent link: https://www.econbiz.de/10012131547
Cover Image
Regime-dependent nonlinear analysis of hedge funds
Viebig, Jan; Poddig, Thorsten; Ballis-Papanastasiou, … - In: The journal of alternative investments 13 (2010/11) 4, pp. 53-72
Persistent link: https://www.econbiz.de/10009008634
Cover Image
On the dynamics of hedge fund strategies
Li, Cai; Liang, Bing - In: The journal of alternative investments 14 (2011/12) 4, pp. 51-68
Persistent link: https://www.econbiz.de/10009550872