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This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several...
Persistent link: https://www.econbiz.de/10005858399
This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...
Persistent link: https://www.econbiz.de/10005858410
This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...
Persistent link: https://www.econbiz.de/10005858416
This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...
Persistent link: https://www.econbiz.de/10005858422
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The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...
Persistent link: https://www.econbiz.de/10005857785
We consider a two-sided buyers & sellers' market with indiviseble goods. Agents may trade many units of any of the items available. Previous research, documenting the case ofunit-flow trades, showed that the existence of substitutability or complementarity colligations between goods. These...
Persistent link: https://www.econbiz.de/10005857788
These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...
Persistent link: https://www.econbiz.de/10005857789