This article provides the key findings of Edhec European Alternative Multi-management Practices Survey. It provides a detailed summary of the results of the survey of the 61 multimanagers carried out, as well as details of the research performed both by Edhec and numerous other professional and...

Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of the familiar optimal investment problem of Merton [Merton,...

Given the increasing importance of funds of hedge funds in the development of the hedge fund industry and the cost-intensive nature of multi-manager structures, investors are questioning whether FoHF add value to an extent that justifies the extra layer of fees induced by their activity. To...

In this paper, we formally show that the cross-sectional variance of stock returns is a consistent and asymptotically efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: it is model-free and observable at any frequency. Previous approaches have used...

La gestion alternative connaît actuellement un engouement certain, tant de la part des investisseurs que des gérants qui y voient une parade efficace à la volatilité des marchés financiers. Cet intérêt ne saurait cependant occulter les risques auxquels sont exposés les hedge funds. Cet...

"Following a growing concern among investors about the quality of hedge fund index return data, this paper addresses the question of whether designing hedge fund indices that fulfil the usual requirements (in particular representative and investable) is or not a feasible task, given a variety of...

We derive a closed-form solution for the optimal portfolio of a nonmyopic utility maximizer who has incomplete information about the alphas or abnormal returns of risky securities. We show that the hedging component induced by learning about the expected return can be a substantial part of the...

Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are typically valued ex-ante, cash bonuses are valued ex-post. This renders the existing valuation models of employee compensation packages theoretically unsatisfactory and,...

In the presence of transaction costs, a risk-return trade-off exists between the quality and the cost of a replicating strategy. In that context, I show how to expand the set of all possible time-based strategies through the introduction of a multi-scale class of strategies, which consist in...