The tactical and strategic value of hedge fund strategies: a

Assessing and valuing the nonlinear stru

Assessing and valuing the nonlinear structure of hedge fund returns

✍ Antonio Diez De Los Rios; René Garcia 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 179 KB

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

A comparison of alternative approaches f

A comparison of alternative approaches for determining the downside risk of hedge fund strategies

✍ Daniel Giamouridis; Ioanna Ntoula 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 175 KB

## Abstract In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specification

The incremental value of a futures hedge

The incremental value of a futures hedge using realized volatility

✍ Yu-Sheng Lai; Her-Jiun Sheu 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 283 KB 👁 1 views

## Abstract A number of prior studies have developed a variety of multivariate volatility models to describe the joint distribution of spot and futures, and have applied the results to form the optimal futures hedge. In this study, the authors propose a new class of multivariate volatility models e

More Money Than God: Hedge Funds and the Making of a New Elite

✍ Mallaby, Sebastian 📂 Fiction 📅 2010 🏛 Penguin 🌐 English ⚖ 453 KB

### Amazon.com Review **Sebastian Mallaby on Hedge Funds** I set out to write the history of hedge funds for two reasons. Explaining the most secretive subculture of our economy posed an irresistible investigative challenge; and the common view of hedge funds seemed ripe for correction. Hedge fund

More Money Than God: Hedge Funds and the Making of a New Elite

✍ Mallaby, Sebastian 📂 Fiction 📅 2010 🏛 Penguin 🌐 English ⚖ 552 KB

### Amazon.com Review **Sebastian Mallaby on Hedge Funds** I set out to write the history of hedge funds for two reasons. Explaining the most secretive subculture of our economy posed an irresistible investigative challenge; and the common view of hedge funds seemed ripe for correction. Hedge fund

More Money Than God Hedge Funds and the Making of a New Elite

✍ Mallaby, Sebastian 📂 Fiction 📅 2010 🏛 Penguin 🌐 English ⚖ 597 KB

### Amazon.com Review **Sebastian Mallaby on Hedge Funds** I set out to write the history of hedge funds for two reasons. Explaining the most secretive subculture of our economy posed an irresistible investigative challenge; and the common view of hedge funds seemed ripe for correction. Hedge fund