Similar Search Results

International portfolio choice in an overlapping generations model with transaction costs

Carmichael, Benoît; Coën, Alain - In: Economics letters 80 (2003) 2, pp. 269-275

Persistent link: https://www.econbiz.de/10001774208

International portfolio choice in an overlapping generations model with transaction costs

Carmichael, Benoît (contributor); Coën, Alain (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001891641

The impact of illiquidity and higher moments of edge fund returns on their risk-adjusted performance and diversification potential

Cavenaile, Laurent; Coën, Alain; Hübner, Georges - In: The journal of alternative investments 13 (2010/11) 4, pp. 9-29

Persistent link: https://www.econbiz.de/10009008651

Dynamic hedge fund style analysis with errors-in-variables

Bodson, Laurent; Coën, Alain; Hübner, Georges - In: The journal of financial research 33 (2010) 3, pp. 201-221

Persistent link: https://www.econbiz.de/10008939355

Real estate as a common risk factor in bank stock returns

Carmichael, Benoît; Coën, Alain - In: Journal of banking & finance 94 (2018), pp. 118-130

Persistent link: https://www.econbiz.de/10011966483

A portfolio approach to the optimal mix of funded and unfunded pensions

Bouhakkou, Léa; Coën, Alain; Folus, Didier - In: Applied economics 52 (2020) 16, pp. 1733-1744

Persistent link: https://www.econbiz.de/10012197588

Real estate as a common risk factor in the financial sector : international evidence

Carmichael, Benoît; Coën, Alain - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430799

The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential

Cavenaile, Laurent - 2011

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and...

Persistent link: https://www.econbiz.de/10013134217