This paper analyses the risk‐return trade‐off in the hedge fund industry. We compare semi‐
deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard …

This paper compares downside risk measures that incorporate higher return moments with
traditional risk measures such as standard deviation in predicting hedge fund failure. When …

Hedge funds have return peculiarities not commonly associated with traditional investment
vehicles. Specifically, hedge funds seem more inclined to produce return distributions with …

We present a recent innovation to portfolio construction called full-scale optimisation. In
contrast to mean–variance analysis, which assumes that returns are normally distributed or …

The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

Wealth management is inherently a more comprehensive endeavor than traditional asset
management. The scope of advisement extends beyond the fixed sum of financial assets. In …

Private Banking ist ein wichtiger Bereich im Banking, der traditionell sowohl in der
Forschung wie auch in der Lehre vernachlässigt wurde. Das Center of Private Banking …

I investigate the asymmetric impact of volatility risk on returns of hedge fund strategies. I
compare volatility risk exposures to price risk exposures by considering the causation …

Collateralized Funds of Hedge Fund Obligations (CFOs) are relatively recent structured
finance products linked to the performance of underlying funds of hedge funds. The capital …

Innovation is the sole driver of productivity—and with it, growth across all asset classes. But
the asset class in charge of financing innovation is in trouble: Conventional VC has failed to …