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Titel:

Option-Like Properties in the Distribution of Hedge Fund Returns

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Denk, K.; Djerroud, B.; Seco, L.; Shakourifar, M.; Zagst, R.
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 in...     »
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:
Frontiers of Engineering Management
Jahr:
2020
Band / Volume:
7
Heft / Issue:
2
Seitenangaben Beitrag:
275–286
Sprache:
en
Volltext / DOI:
doi:https://doi.org/10.1007/s42524-020-0095-3
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
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