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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Denk, K.; Djerroud, B.; Seco, L.; Shakourifar, M.; Zagst, R. 
Titel:
Option-Like Properties in the Distribution of Hedge Fund Returns 
Abstract:
In recent years hedge funds have become more popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility. However, a closer look at those high performing hedge funds raises the question if the performance is truly superior and if the high management fees are justified. Incurring no alpha costs, so-called passive hedge fund replication strategies raise the question if they can lead to similar performance i...    »
 
Stichworte:
Hedge funds; hedge fund index; segmented linear regression models; regime-switching models; mimicking portfolios; single factor-based hedge fund replication; equity long/short strategy 
Zeitschriftentitel:
submitted for publication 
Jahr:
2017 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik