[PDF][PDF] Amaranth lessons thus far
H Till - Journal of Alternative Investments, 2008 - premiacap.com
Abstract In September 2006, Amaranth Advisors, LLC collapsed under the weight of losses,
which were reported as $6.6-billion. Unfortunately, this meant that the fund had become …
which were reported as $6.6-billion. Unfortunately, this meant that the fund had become …
Abnormal return patterns and hedge fund failures
B Gupta, H Kazemi - Journal of Risk Management in Financial …, 2008 - ingentaconnect.com
One reason why quantitative performance and risk measures fail to adequately expose
certain risks in hedge funds is the uniqueness of hedge fund strategies and related …
certain risks in hedge funds is the uniqueness of hedge fund strategies and related …
[HTML][HTML] Modeling hedge fund leverage via power utility with subsistence
We use a power utility function with subsistence to model leverage. We prove that as the
value of the subsistence level grows the allocation in the risky asset increases. The …
value of the subsistence level grows the allocation in the risky asset increases. The …
Hedge Funds and Financial Stability
PA Stork, CG de Vries - European Parliament-Policy Department …, 2007 - papers.ssrn.com
This study investigates empirically the effects that hedge funds can have on the stability of
the financial system. We conclude that hedge funds are in general less risky than banks. We …
the financial system. We conclude that hedge funds are in general less risky than banks. We …