[BOOK][B] Hedge funds: quantitative insights

FS Lhabitant - 2009 - books.google.com
" An excellent and comprehensive source of information on hedge funds! From a quantitative
view Lhabitant has done it once again by meticulously looking at the important topics in the …

Assessing market risk for hedge funds and hedge fund portfolios

F Lhabitant - The Journal of Risk Finance, 2001 - emerald.com
The author suggests an empirical model to analyze the investment style of individual hedge
funds and fund of funds. This approach is based on a mixture of the style analysis approach …

[BOOK][B] Commodity trading advisors: Risk, performance analysis, and selection

GN Gregoriou, V Karavas, FS Lhabitant, FD Rouah - 2011 - books.google.com
Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

[BOOK][B] Hedge funds investing: A quantitative look inside the black box

FS Lhabitant - 2001 - researchgate.net
There is an increasing amount of evidence that shows the benefits of considering hedge
funds as an asset class at the strategic asset allocation level. The investors' greatest …

[PDF][PDF] Managed futures, hedge fund and mutual fund return estimation: A multi-factor approach

T Schneeweis, R Spurgin - Amherst, MA, USA: Canter for …, 1997 - turtletrader.com
The past five years have witnessed a dramatic increase in managed futures products whose
managers (commodity trading advisors) trade primarily in futures and options markets and …

[BOOK][B] Classifying hedge funds with Kohonen maps: a first attempt

B Maillet, P Rousset - 2003 - Springer
The purpose of this paper is to present an empirical study of a set of hedge funds on recent
periods. Alternative investments are now widely used by institutional investors and …

A Study of Survival

RB Spurgin - The Journal of Alternative Investments, 1999 - pm-research.com
There's growing evidence that mutual funds that are more different from their benchmark
indices outperform. But how do we know whether or not a fund is truly unique? And how can …

Style breaks in return-based style analysis

J Annaert, G van Campenhout - 2002 - repository.uantwerpen.be
Despite the wide acceptance of return-based style analysis, the method has several
limitations. One important drawback is the underlying assumption that the style exposures …

[PDF][PDF] Eurex derivative products in alternative investments: The case for managed futures

T Schneeweis, R Spurgin, H Kazemi - Economic and Financial Computing, 2004 - Citeseer
This report analyzes the potential benefits to CTAs of incorporating Eurex futures contracts
as an investment vehicle. Results indicate that investment in Eurex futures contracts would …

[BOOK][B] Evaluation and comparison of management strategies by data envelopment analysis with an application to mutual funds

CL Wilson - 2007 - search.proquest.com
A new categorical schema for strategic management is developed; a methodology for its
implementation is elaborated; an application to mutual funds based on microeconomic …