Similar Search Results

Performance hypothesis testing with the sharpe ratio : the case of hedge funds

Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 10 (2013) 4, pp. 196-208

Persistent link: https://www.econbiz.de/10010252332

Exploring Limitations of Return-Based Exposure Estimation for Hedge Funds

Frei, Christian W - 2013

transparency. This article proposes a method to assess the limitations of such methods using the posterior Cramer-Rao bound (PCRB …) concept. This PCRB methodology allows one to quantify the maximum achievable accuracy of exposure estimates without having to …. The main determinants of the PCRB are shown to be the variance of the hedge fund exposures and the ratio of market …

Persistent link: https://www.econbiz.de/10013071405

Evaluating hedge fund performance

Tran, Vinh Quang - 2005

Persistent link: https://www.econbiz.de/10002573029

How the performance measures influence the evaluation of hedge funds' strategies?

Mzoughi, Hela - In: The empirical economics letters : a monthly … 18 (2019) 10, pp. 1063-1076

Persistent link: https://www.econbiz.de/10012318570

The impact of Covid-19 on the performance of hedge funds compared to mutual funds in South Africa

Muridili, Thonifho Pollen; Sgammini, Ruschelle; … - In: International journal of economics and financial issues … 12 (2022) 6, pp. 133-144

Persistent link: https://www.econbiz.de/10014227823

Beta active hedge fund management

Duanmu, Jun; Malachov, Aleksej; McCumber, William - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2525-2558

Persistent link: https://www.econbiz.de/10012128051

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

Persistent link: https://www.econbiz.de/10010337996

Chinese hedge funds : performance and risk exposures

Ling, Yun; Yao, Juan; Liu, Weidi - In: The Chinese economy 48 (2015) 5, pp. 330-350

Persistent link: https://www.econbiz.de/10011404583

Evaluating the performance of hedge funds using two-stage pper group benchmarks

Wilkens, Marco; Yao, Juan; Oehler, Patrick J.; … - In: The journal of asset management 16 (2015) 4, pp. 272-291

Persistent link: https://www.econbiz.de/10011413386

Explaining hedge fund investment styles by loss aversion

Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10011326964