This paper analyzes the current use of incentive-fee-concepts for mutual funds in Germany. Following an empirical analysis about the relevance of these methods, the different methods of calculation and the influence of different parameters are described. Further on it explains the impacts of...

This paper analyzes the current use of incentive-fee-concepts for mutual funds inGermany. Following an empirical analysis about the relevance of these methods,the different methods of calculation and the influence of different parameters aredescribed. Further on it explains the impacts of...

VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

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...

Albanian Abstract: Për shumë prej nesh, blerja e një shtëpie është një nga vendimet më të rëndësishme si dhe ndonjëherë transaksioni më i madh financiar që mund të bëhet në jetë. Të qartësosh pyetjet përpara se të zgjedhësh një kredi do të thotë të bësh krahasimin...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

We investigate the implications of variations in the frequency with which hedge fund managers update their high-water mark on fees paid by investors. We rst doc- ument the crystallization frequencies used by Commodity Trading Advisors (CTAs) and then perform simulations and a bootstrap analysis....

In this paper, we argue that bank-sponsored prime institutional money market funds (PI-MMFs) are different from non-bank-sponsored PI-MMFs. This difference can arise because the sponsoring bank holding companies (BHCs) can extend shadow insurance to ailing affiliated MMFs. We hypothesize that...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these...