Identifying the Risk Structure of Mutual Fund Returns
β Scribed by Martin J. Gruber
- Book ID
- 108559647
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 331 KB
- Volume
- 7
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global fu
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features wit