Technical papers/Hedge Funds
Regulation could be an opportunity for the fund of hedge funds industry...
Funds of hedge funds have a role to play in institutional investor portfolios but they need to adapt their value proposition. Regulation could help the FoHF industry make its voice audible.
Research shows a strong negative association between performance and duration for private equity deals. Quick flips account for 12% of all PE investments with a median internal rate of return of 85%.
An analysis of commodity indexes shows there is some economic value from trading distant contracts beyond a fair compensation for taking liquidity risk.
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Hedge Funds articles
Cross-sectional variance shown to be good proxy for Idiosyncratic volatility...
Research shows the cross-sectional variance is a good proxy for the idiosyncratic variance obtained from the CAPM or the Fama-French models and does has a positive relationship with expected returns.
Option pricing and hedging problems cause basis risk
Option pricing and hedging cause problems when a futures contract is written on the underlying asset for the underlying asset. Using the optimal strategy is likely to generate meaningful welfare gains.
Ratings needed for non-financial risks in European Union funds management...
Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
Regulation has not kept pace with innovation in the fund management...
The Ucits directive fails to make adequate allowances for the operational consequences of financial innovation. Non-financial risk has increased and regulations contributed to this rise.
Optimal portfolio selection in the presence of non-normally distributed...
Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.
Option pricing and hedging in the presence of cross-hedge risk
Dynamic hedging as an option is a possibility when the underlying asset is not available for trading and some other asset or portfolio is used as a substitute, although this may not always happen.
Optimal hedge fund allocation present challenges for hedge funds and...
Research on optimal hedge fund allocation by Edhec Risk Institute and supported Newedge has potential implications for hedge fund and funds of hedge funds managers using portfolio optimisation.
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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