The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

Active managers operating quick portfolio adjustments, backed only by some rough
estimates and loose predictions, might improve their market timing performances to benefit …

This paper examines the dynamic of Hedge Funds. Structural change tests indicate a
timevarying structure. A linear factor model with time-varying coefficients shows that the …

On the tracking and replication of hedge fund optimal investment portfolio strategies in
global The hedge fund represents a unique investment opportunity for the institutional and …

Commodity trading advisors (CTAs) make directional investments in liquid futures and
forward markets. Since CTAs generally do not engage in security selection or relative value …

Existe sólo dos teorías con un riguroso fundamento para calcular el equilibrio entre el riesgo
y la rentabilidad de los activos: el CAPM y el APT. Sin embargo, a diferencia del CAPM, el …

Hedge funds have exhibited not only fast growth rates and increased assets under
management but also losses and failures. The dynamic investment strategies employed and …

Modelo multifactorial APT para el análisis de los factores de riesgo macroeconómico a los
que se exponen los hedge funds Page 1 EconoQuantum / Vol. 14. Núm. 1 n 7 Modelo …

This thesis assesses the impact of alternative asset classes to investment portfolio risk-return
characteristics from the perspective of BRICS investor following Markowitz mean-variance …

Investors frequently use rolling regressions to estimate dynamic factor exposures. The
estimation interval is an important parameter, but is often set unsystematically. The author …