Due to the voluntary nature of hedge funds reporting to databases, hedge funds may stop
reporting and exit a database not only because of failure, but also as a result of success and …

The main focus of this paper is to explore the potential for improving econometric
specification in modeling hedge fund returns. Specifically, we examine the effects of (1) …

Artykuł traktuje o wynikach inwestycyjnych funduszy hedge i czynnikach, które należy brać
pod uwagę, analizując ich stopy zwrotu dostępne w komercyjnych bazach danych. Ich …

Este trabajo examina el comportamiento de las variables microeconómicas de los fondos de
fondos de cobertura (FFC) durante un periodo previo a la crisis financiera global 2008 …

This study focuses on the relation between the risk profile of a hedge fund and its probability
to fail. We propose to model the failure event using survival analysis through a Cox Hazards …

Using a nonparametric statistical methodology this thesis analyses nonlinear risk exposures
in portfolios and individual hedge funds. At the portfolio level an out-of-sample evidence of …

We use a power utility function with subsistence to model leverage. We prove that as the
value of the subsistence level grows the allocation in the risky asset increases. The …

Why is Vanguard, an indexing expert, publishing research on active management? The
company has offered actively managed funds for nearly 40 years. In the United States, it …

From the early 2000s up to the financial crisis, the funds of hedge funds (FoHFs) business
was one of the most rapidly growing sectors of the financial products world. Indeed, FoHFs …

The main focus of this paper is to explore the potential econometric im-provements that can
be achieved in estimating hedge fund returns. Specifically, we examine the effects of …