This paper investigates whether the increase in assets flowing into the hedge fund industry
diminishes returns and, in particular, whether larger hedge funds underperform smaller …

We present hedge fund performance estimates that adjust for stale prices, Fama‐French risk
factors and skewness. We contrast these new performance estimates with traditional …

A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …

In this paper, we provide further evidence on the use of multivariate conditional volatility
models in hedge fund risk measurement and portfolio allocation, using monthly hedge fund …

Resumo Fundos Long-Short deveriam ter a capacidade de prover retornos positivos,
superiores ao custo de oportunidade e independentes das condiçoes de mercado, uma vez …

" Eldon Mayer is a battle-tested pro. You should listen to what he and his partner, Sam
Kirschner, have to say."--Barton M. Biggs, Managing Partner, Traxis Partners Meet the crème …

While the impact of backfill bias, survivor bias, and other database construction issues (eg,
onshore versus offshore) on hedge fund performance have received considerable research …

Seit der Einführung des Investmentmodernisierungsgesetzes in 2004 besteht am deutschen
Kapitalmarkt ein zunehmendes Interesse an Hedgefonds. Jedoch stellen sich Hedgefonds …

Motivated by the surge in popularity of passive hedge fund investments, the present article
discusses the concept of “alternative beta” and its implications for the hedge fund industry …

Closed-form solutions for derivatives pricing problems yield exact prices nearly
instantaneously. But for only a handful of actual derivatives are payoff structures simple …