Regime-Based Strategic Asset Allocation
E Bouyé, J Teiletche - Available at SSRN 4801115, 2024 - papers.ssrn.com
What should investors do in the presence of economic regimes? Researchers and
practitioners usually address this topic from a tactical asset allocation point of view. In this …
practitioners usually address this topic from a tactical asset allocation point of view. In this …
Alternatives to alternative assets: Assessing S&P 500 index option strategies as hedge fund replacements
W Ge - The Journal of Alternative Investments, 2018 - search.proquest.com
Hedge funds should deliver good risk-adjusted returns and provide diversification for
investors' portfolios. However, the performance of hedge funds has deteriorated in recent …
investors' portfolios. However, the performance of hedge funds has deteriorated in recent …
Empirical investigation of the VaR of hedge funds using daily data
F Pochon, J Teïletche - Derivatives Use, Trading & Regulation, 2007 - Springer
We compare the performance of several Value-at-Risk (VaR) models when applied to a high-
frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily …
frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily …
[CITATION][C] On the consistency of performance measures for hedge funds
H Nguyen-Thi-Thanh - Journal of Performance Measurement, 2010