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Hedge Fund Risk Dynamics: Implications for Performance Appraisal. (2009). Whaley, Robert E. ; Nicolas P. B. Bollen, .
In: Journal of Finance.
RePEc:bla:jfinan:v:64:y:2009:i:2:p:985-1035.

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  1. Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan.
    In: EconStor Preprints.
    RePEc:zbw:esprep:289497.

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  2. Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan.
    In: MetaArXiv.
    RePEc:osf:metaar:ps2yn.

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  3. Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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  4. Do big data mutual funds outperform?. (2023). Zeng, Yamin ; Peng, Zezhi ; Zhang, Junsheng ; Yang, Haisheng.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001105.

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  5. Hedge funds trading strategies and leverage. (2023). Mu, Congming ; Lu, Lei ; Liu, Wenqiong ; Huang, Wenli.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:149:y:2023:i:c:s016518892300043x.

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  6. Hedge Fund Performance: A Quantitative Survey. (2022). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan.
    In: EconStor Preprints.
    RePEc:zbw:esprep:260612.

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  7. Hedge Fund Manager Skill and Style-Shifting. (2022). Zhang, Huacheng ; Liang, Bing ; Jiang, George J.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:3:p:2284-2307.

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  8. ? in the tails. (2022). Reno, Roberto ; Bandi, Federico M.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:134-150.

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  9. .

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  10. Volatility and the cross-section of returns on FX options. (2021). Marsh, Ian W ; James, Jessica ; Fullwood, Jonathan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:3:p:1262-1284.

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  11. Hedge fund portfolio selection with fund characteristics. (2021). Kahra, Hannu ; Kauppila, Mikko ; Joenvaara, Juha.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001916.

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  12. Death and the life hereafter: A study of the subsequent hedge funds. (2021). Gao, Yang ; Wu, Bochen ; Yao, Juan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320310850.

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  13. Trading off accuracy for speed: Hedge funds decision-making under uncertainty. (2021). Dragomirescu-Gaina, Catalin ; Tsionas, Mike G ; Philippas, Dionisis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000715.

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  14. Timing is money: The factor timing ability of hedge fund managers. (2021). , Remco ; Osinga, Albert Jakob.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:266-281.

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  15. Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

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  16. Monetary policy after the crisis: A threat to hedge funds alphas?. (2020). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7.

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  17. Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. (2020). Andrikopoulos, Athanasios ; Stafylas, Dimitrios.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191930563x.

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  18. The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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  19. The shrouded business of style drift in active mutual funds. (2020). Tam, On Kit ; Pei, Angeline Kim.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301115.

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  20. Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?. (2020). Guidolin, Massimo ; Orlov, Alexei.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp20146.

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  21. Jensens alpha and the market?timing puzzle. (2019). Wilkens, Marco ; Scholz, Hendrik ; Rohleder, Martin ; Bunnenberg, Sebastian.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:37:y:2019:i:2:p:234-255.

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  22. Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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  23. Benchmarking commodity investments. (2018). Cooper, Ricky ; Blocher, Jesse ; Molyboga, Marat.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:3:p:340-358.

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  24. Equity market neutral hedge funds and the stock market: an application of score-driven copula models. (2018). Blazsek, Szabolcs ; Ayala, Astrid.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:37:p:4005-4023.

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  25. Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

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  26. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1890.

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  27. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1887.

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  28. Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1884.

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  29. Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds. (2017). Watugala, Sumudu W ; Monin, Phillip J ; Kruttli, Mathias S.
    In: Working Papers.
    RePEc:ofr:wpaper:17-07.

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  30. Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds. (2017). Watugala, Sumudu W ; Monin, Phillip J ; Kruttli, Mathias S.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-121.

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  31. Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance. (2017). Huang, Ying Sophie ; Kato, Isamu ; Chen, Carl R.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:367-388.

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  32. Recent advances in explaining hedge fund returns: Implicit factors and exposures. (2017). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:33:y:2017:i:c:p:69-87.

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  33. Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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  34. The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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  35. Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. (2017). Garay, Urbi ; Rivillo, Carlos ; Hernandez, Manuel.
    In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA.
    RePEc:col:000443:016483.

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  36. Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. (2017). Garay, Urbi ; Rivillo, Carlos ; Hernandez, Manuel.
    In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA.
    RePEc:col:000443:016373.

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  37. Do European hedge fund managers time market liquidity?. (2016). ben Khelifa, Soumaya ; Hmaied, Dorra Mezzez.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:6:d:10.1057_jam.2016.21.

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  38. Jensen alpha and market climate. (2016). Breloer, Bernhard ; Scholz, Hendrik ; Huhn, Hannah Lea.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:3:d:10.1057_jam.2016.4.

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  39. Evaluating Hedge Funds with Pooled Benchmarks. (2016). Odoherty, Michael S ; Savin, N E ; Tiwari, Ashish.
    In: Management Science.
    RePEc:inm:ormnsc:v:62:y:2016:i:1:p:69-89.

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  40. Systematic risk behavior in cyclical industries: The case of shipping. (2016). Drobetz, Wolfgang ; Schroder, Henning ; Menzel, Christina .
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:88:y:2016:i:c:p:129-145.

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  41. Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40.

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  42. Do hedge funds dynamically manage systematic risk?. (2016). Rau, Raghavendra ; Namvar, Ethan ; Pukthuanthong, Kuntara ; Phillips, Blake.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:64:y:2016:i:c:p:1-15.

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  43. Commonality in hedge fund returns: Driving factors and implications. (2015). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:266-280.

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  44. Generalized runs tests to detect randomness in hedge funds returns. (2015). HENTATI KAFFEL, Rania ; de Peretti, Philippe ; Hentati-Kaffel, Rania .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:608-615.

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  45. A tale of feedback trading by hedge funds. (2015). , Marc ; Willemstein, Robin .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:239-259.

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  46. Aggregate volatility expectations and threshold CAPM. (2015). ARISOY, Yakup ; Akdeniz, Levent ; Altay-Salih, Aslihan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:231-253.

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  47. Determinates of financial behavior: insights into consumer money attitudes and financial literacy. (2014). Ke, Sheng-Chen ; Shih, Tsui-Yii .
    In: Service Business.
    RePEc:spr:svcbiz:v:8:y:2014:i:2:p:217-238.

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  48. Crystallization Рthe Hidden Dimension of Hedge Funds Fee Structure. (2014). Fr̦mmel, Michael ; Elaut, Gert ; FRoMMEL, M. ; SJoDIN, J..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:14/872.

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  49. Returns to Active Management: The Case of Hedge Funds. (2014). Kazemi, Maziar ; Islamaj, Ergys.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1112.

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  50. Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing. (2014). Wongwachara, Warapong ; McKenzie, Michael ; Satchell, Stephen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:215-229.

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  51. Commonality in hedge fund returns: driving factors and implications. (2014). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141658.

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  52. The Evolving Beta-Liquidity Relationship of Hedge Funds. (2014). Stefanova, Denitsa ; Siegmann, Arjen.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-12.

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  53. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

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  54. Forecasting hedge fund volatility: a Markov regime-switching approach. (2013). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:19:y:2013:i:4:p:243-275.

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  55. Leverage and Alpha: The Case of Funds of Hedge Funds. (2013). Dewaele, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/149175.

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  56. Portfolio Optimization for Hedge Funds through Time-Varying Coefficients. (2013). Dewaele, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/149174.

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  57. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

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  58. Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach. (2013). Akay, Ozgur ; Yoldas, Emre ; Senyuz, Zeynep.
    In: Working Papers.
    RePEc:ofr:wpaper:13-03.

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  59. Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms. (2013). Edelman, Daniel ; Fung, William ; Hsieh, David A..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:734-758.

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  60. Short-term hedge fund performance. (2013). Slavutskaya, Anna .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4404-4431.

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  61. Investment Performance: A Review and Synthesis. (2013). Ferson, Wayne E.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-969-1010.

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  62. Hedge Funds. (2013). Funga, William ; Hsiehb, David A.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1063-1125.

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  63. Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach. (2013). Yoldas, Emre ; Senyuz, Zeynep ; Akay, Ozgur .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:16-29.

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  64. Zero-R 2Hedge Funds and Market Neutrality. (2013). Bollen, Nicolas P. B., .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:48:y:2013:i:02:p:519-547_00.

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  65. Volatility Risk Premia and Exchange Rate Predictability. (2013). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9549.

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  66. Nonlinearity and smoothing in venture capital performance data. (2012). Wongwachara, Warapong ; McKenzie, Michael ; Satchell, Stephen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:782-795.

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  67. Dynamic risk exposures in hedge funds. (2012). Pelizzon, Loriana ; Billio, Monica ; Getmansky, Mila.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3517-3532.

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  68. Commonality in hedge fund returns: driving factors and implications. (2012). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working papers.
    RePEc:bfr:banfra:373.

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  69. Market Liquidity and Exposure of Hedge Funds. (2011). Stefanova, Denitsa ; Siegmann, Arjen.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110150.

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  70. Risk Measures for Autocorrelated Hedge Fund Returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110084.

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  71. The financial crisis and hedge fund returns. (2011). Bollen, Nicolas .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

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  72. Hedge fund leverage. (2011). Ang, Andrew ; Gorovyy, Sergiy ; van Inwegen, Gregory B..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:1:p:102-126.

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  73. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

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  74. Risk measures for autocorrelated hedge fund returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_831_11.

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  75. Inferring reporting biases in hedge fund databases from hedge fund equity holdings. (2010). Jiang, Wei ; Agarwal, Vikas ; Fos, Vyacheslav.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1008.

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  76. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. (2010). Pelizzon, Loriana ; Lo, Andrew ; Billio, Monica ; Getmansky, Mila.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16223.

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  77. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

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  78. Crises and Hedge Fund Risk. (2009). Pelizzon, Loriana ; Billio, Monica ; Getmansky, Mila.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2561.

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Portfolio optimization in hedge funds by OGARCH and Markov Switching Model. (2015). Luo, Cuicui ; Wu, Lin-Liang Bill ; Seco, Luis.
    In: Omega.
    RePEc:eee:jomega:v:57:y:2015:i:pa:p:34-39.

    Full description at Econpapers || Download paper

  2. CoVaR. (2014). Brunnermeier, Markus ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:348.

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  3. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

    Full description at Econpapers || Download paper

  4. Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans. (2013). Bouvatier, Vincent ; Rigot, Sandra.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-4.

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  5. Funds of hedge funds: performance, risk and capital formation 2005 to 2010. (2012). Fung, William ; Naik, Narayan ; Hsieh, David ; Edelman, Daniel .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:87-108.

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  6. Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests. (2012). Bessler, Wolfgang ; Kurmann, Philipp ; Holler, Julian.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:109-141.

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  7. Diversification in the hedge fund industry. (2012). Dai, Na ; Cumming, Douglas ; Shawky, Hany A..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:1:p:166-178.

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  8. Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.4562.

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  9. Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.2662.

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  10. Assessing the Performance of Funds of Hedge Funds. (2011). Pirotte Speder, Hugues ; Dewaele, Benoit ; Tuchschmid, N. ; Wallerstein, E..
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/97544.

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  11. Corporate governance and hedge fund activism. (2011). Mooradian, Robert ; Boyson, Nicole .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

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  12. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

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  13. The financial crisis and hedge fund returns. (2011). Bollen, Nicolas .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

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  14. Liquidity Shocks and Hedge Fund Contagion. (2011). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-12.

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  15. CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure. (2011). Balbas, Alejandro .
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-11-04.

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  16. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

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  17. Explaining the returns of active currency managers. (2011). Nasypbek, Sam ; Rehman, Scheherazade S.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

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  18. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

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  19. Risk measures for autocorrelated hedge fund returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_831_11.

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  20. Connected Stocks. (2010). Polk, Christopher ; Anton, Miguel.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp651.

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  21. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

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  22. Do hedge funds manage their reported returns?. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0709.

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  23. Role of managerial incentives and discretion in hedge fund performance. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0404.

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  24. Reducing estimation risk in optimal portfolio selection when short sales are allowed. (2009). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305.

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  25. Inflation-hedging portfolios in Different Regimes. (2009). Signori, Ombretta ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:09-047.

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  26. Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage. (2009). Dai, John ; Sundaresan, Suresh.
    In: MPRA Paper.
    RePEc:pra:mprapa:16483.

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  27. Market Dispersion and the Profitability of Hedge Funds. (2009). Connor, Gregory ; Li, Sheng.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n2000109.pdf.

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  28. The persistence in hedge fund performance: extended analysis. (2009). Capocci, Daniel ; Daniel P. J. Capocci, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:233-255.

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  29. Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry. (2008). Ruenzi, Stefan ; Kempf, Alexander ; Thiele, Tanja .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0702.

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  30. Regime switching models of hedge fund returns. (2008). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1208.

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  31. Volatility Exposure for Strategic Asset Allocation. (2008). Signori, Ombretta ; Brière, Marie ; Burgues, Alexandre ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:08-034.

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  32. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

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  33. Tracking problems, hedge fund replication and alternative beta. (2008). Roncalli, Thierry ; Weisang, Guillaume .
    In: MPRA Paper.
    RePEc:pra:mprapa:37358.

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  34. The Hedge Fund Game. (2008). Young, H. ; Foster, Dean P.
    In: Economics Papers.
    RePEc:nuf:econwp:0801.

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  35. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

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  36. Do Funds-of-Funds Deserve Their Fees-on-Fees?. (2008). Zhao, Rui ; Rhodes-Kropf, Matthew ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13944.

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  37. Do Hedge Funds Profit From Mutual-Fund Distress?. (2008). Stein, Jeremy ; Hong, Harrison ; Hanson, Samuel ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13786.

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  38. Risk Measurement and Management in a Crisis-Prone World. (2008). Wong, Woon ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2008/14.

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  39. On the relative performance of multi-strategy and funds of hedge funds. (2007). Kale, Jayant R. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0711.

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  40. Hedge funds for retail investors? An examination of hedged mutual funds. (2007). Naik, Narayan Y. ; Agarwal, Vikas ; Boyson, Nicole M..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0704.

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  41. Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; Brooks, Chris ; Cerny, A. ; Miffre, J..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-12.

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  42. Is There Hedge Fund Contagion?. (2006). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12090.

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  43. Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. (2006). Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-38.

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  44. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns. (2006). Garcia, René ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-31.

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  45. Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach. (2005). Olszewski, Yan.
    In: Finance.
    RePEc:wpa:wuwpfi:0507018.

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  46. Estimating Bank Trading Risk: A Factor Model Approach. (2005). O'Brien, James ; Berkowitz, Jeremy .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11608.

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  47. Systemic Risk and Hedge Funds. (2005). Lo, Andrew ; Getmansky, Mila ; Haas, Shane M. ; Chan, Nicholas .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11200.

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  48. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6zx6m7fp.

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  49. Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze. (2004). Merrick, John J. ; Yadav, Pradeep K. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0407.

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  50. Risk and return in convertible arbitrage: Evidence from the convertible bond market. (2004). Naik, Narayan Y. ; Loon, Yee Cheng ; Fung, William H. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0403.

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