This paper calculates option portfolio Value at Risk (VaR) using Monte Carlo simulation under a risk neutral stochastic implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into account nonlinearity, passage of time,...

Graphene films with excellent thermal conductivity have realized applications in many electronic devices. Further improving the performance of graphene thermally conductive films (GFs) is the key to meeting the thermal management needs of devices with higher power densities. However, factors...

This paper investigates the short-side anomaly trading behavior of alternative mutual funds (AMFs) based on their short positions in U.S. domestic equities. In aggregate, AMFs demonstrate the ability to exploit well-documented stock market anomalies on the short side, and the overpriced stocks...

Purpose: The purpose of this paper is to devise a efficient method for the importance analysis on Port Throughput Influence Factors. Design/methodology/approach: Neighborhood rough sets is applied to solve the problem of selection factors. First the throughput index system is established. Then,...

Purpose: There is a widespread recognition of the importance of correctly modeling service processes as an effective way to provide a comprehensive understanding of the process and to enhance the service quality to clients. Taking this into account, this paper aims to construct the logistics...

Using data from the Lipper TASS hedge fund database over 1994-2012, we examine the role of liquidity risk in explaining the relationship between asset size and hedge fund performance. While a significant negative size-performance relationship exists for all hedge funds, once we stratify our...

This study takes a novel approach to testing the efficacy of technical analysis. Rather than testing specific trading rules as is typically done in the literature, we rely on institutional portfolio managers' statements about whether and how intensely they use technical analysis, irrespective of...

Recently many mutual funds have created hedge fund-like products for marketing to retail investors. This study empirically examines the value added for investors during the 2007 financial crisis from hedge fund-like mutual funds, including 130/30, market neutral, and long/short equity funds. We...

Extant research has focused on mutual fund managers' ability to time market returns or volatility. In this paper, we offer a new perspective on the traditional timing issue by examining fund managers' ability to time market wide liquidity. Using the CRSP mutual fund database, we find strong...