Hutchinson, Mark C.; Gallagher, Liam A. - In: Journal of Business Finance & Accounting 37 (2010-01) 1-2, pp. 206-241
This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined. Results indicate that...