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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - Tinbergen Instituut - 2002
as well as investor preferences.Following the current empirical literature, we solve a static asset allocation problem …
Persistent link: https://www.econbiz.de/10011257172
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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - Tinbergen Institute - 2002
financial decision making. In this paper we present a simple model based on loss aversion that can accommodate for all of these … as well as investor preferences. Following the current empirical literature, we solve a static asset allocation problem …
Persistent link: https://www.econbiz.de/10005144566
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Market Liquidity and Exposure of Hedge Funds
Siegmann, Arjen; Stefanova, Denitsa - Tinbergen Instituut - 2011
We examine whether the drastic improvement in liquidity in the US stockmarket after 2003 has impacted the systematic exposures of hedge funds to theUS-stock market. The relation between market exposure and Amihud’s illiquiditymeasure reverses significantly around a breakpoint situated...
Persistent link: https://www.econbiz.de/10011256985