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Hedge fund performance using scaled Sharpe and Treynor measures

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Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

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Modeling hedge fund leverage via power utility with subsistence

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