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The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited
Hamelink, Foort; Hoesli, Martin - 2003
This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.
Persistent link: https://www.econbiz.de/10005843487
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Family Firms, Agency Costs and Risk Aversion - Empirical Evidence from Diversification and Hedging Decisions
Schmid, Thomas; Ampenberger, Markus; Kaserer, Christoph; … - Center for Entrepreneurial and Financial Studies <München> - 2008
diversification or the application of currency hedging instruments. This analysis is based on a unique dataset of 339 publicly listed … hedging instruments.In a second step, we go beyond existing research and distinguish between two separate dimensions of family … costs and thus leads to lower levels of business segment diversification and less currency hedging. In contrast family …
Persistent link: https://www.econbiz.de/10005870324
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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
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 …
Persistent link: https://www.econbiz.de/10011890772
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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
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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio
Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320
Persistent link: https://www.econbiz.de/10010259395
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Diversification with risk factors and investable hedge fund indices
Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116
Persistent link: https://www.econbiz.de/10011411941
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Hedge fund strategies, performance &diversification : a portfolio theory & stochastic discount factor approach
Newton, David P.; Platanakis, Emmanouil; Stafylas, Dimitrios - In: The British accounting review : the journal of the … 53 (2021) 5, pp. 1-22
Persistent link: https://www.econbiz.de/10013041238
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The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks
Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318
Persistent link: https://www.econbiz.de/10012671925
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Commodity Trading Advisors, (CTA), as a Mean of Diversification in a Hedge Fund Portfolio
Guirguis, Michel - 2020
Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed–income securities and commodities such as gold,...
Persistent link: https://www.econbiz.de/10012832446
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Financial crises and evaporating diversification benefits of hedge funds
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - In: Hedge funds : structure, strategies, and performance, (pp. 439-459). 2017
Persistent link: https://www.econbiz.de/10012253366