A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

The Sharpe ratio is adequate for evaluating investment funds when the returns of those
funds are normally distributed and the investor intends to place all his risky assets into just …

A frequent comment is that investment funds with a nonnormal return distribution cannot be
adequately evaluated by using the classic Sharpe ratio. Research on hedge fund data that …

The Sharpe ratio emerges as one of the most popular metrics used in the evaluation of
investment performance despite the wide range of alternatives that have been proposed by …

As recent research highlights that the Sharpe ratio has a decision theoretic foundation even
in the case of asymmetric or fat-tailed excess returns and thus is adequate even for the …

In this study, we investigate whether the performance of emerging market hedge funds
(EMHFs) follow a pattern similar to that reported for advanced market hedge funds. In …

The objective of this chapter is to demonstrate the mixed use of a quantitative and qualitative
data to test whether white maize producers' perceptions about price risk management could …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …

We provide the first quantitative survey of the empirical literature on hedge fund
performance. We examine the impact of potential biases on the reported results. Using a …

We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain
(PIGS) government debt mutual funds. Performance persistence is measured for short …