In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier analysis. For a fairly homogenous sample of German savings and cooperative banks, we analyze how alternative theoretical assumptions regarding the nature of heterogeneity can be...

In this paper, we attempt to identify risk factors for Asia-focused hedge funds through modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positive exposures to emerging equity markets, especially emerging markets in Asia, and also...

Vermorken et al. (2012) introduce a new measure of diversification, the Diversification Delta based on the empirical entropy. The entropy as a measure of uncertainty has successfully been used in several frameworks and takes into account the uncertainty related to the entire statistical...

We investigate the dynamic correlation between oil, gold and commodity currencies and suggest optimal hedging strategies for participants in these markets. Over the past few years, commodity prices have fluctuated significantly and exhibited high volatility. Although there are a number of...

This paper deals with ‘investment timing’, or how to make decisions on long-term investments to mitigate catastrophic risk where the risk is driven by trends and seasonality, and interest rates vary stochastically over time. Our model combines real options theory, extreme value theory and...