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Guaranteed stop orders as portfolio insurance – An analysis for the German stock market 作为投资组合保险的担保止损单——对德国股市的分析
Journal of Derivatives & Hedge Funds Pub Date : 2014-11-05 DOI: 10.1057/JDHF.2014.22
J. Leicht, A. Rathgeber
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引用次数: 2
Risk aversion, bank funding risk and futures hedging 风险规避、银行融资风险和期货对冲
Journal of Derivatives & Hedge Funds Pub Date : 2014-09-25 DOI: 10.1057/JDHF.2014.21
S. Raju
{"title":"Risk aversion, bank funding risk and futures hedging","authors":"S. Raju","doi":"10.1057/JDHF.2014.21","DOIUrl":"https://doi.org/10.1057/JDHF.2014.21","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"5 45","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120810012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis 次贷危机后对冲基金行业的顺周期性和多样化
Journal of Derivatives & Hedge Funds Pub Date : 2014-09-11 DOI: 10.1057/JDHF.2014.20
François-Éric Racicot, Raymond Théoret
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引用次数: 5
Can turnover go to zero|[quest]| 营业额能归零吗
Journal of Derivatives & Hedge Funds Pub Date : 2014-08-01 DOI: 10.1057/JDHF.2014.17
Zurab Kakushadze
{"title":"Can turnover go to zero|[quest]|","authors":"Zurab Kakushadze","doi":"10.1057/JDHF.2014.17","DOIUrl":"https://doi.org/10.1057/JDHF.2014.17","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130256048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Novel no-arbitrage conditions for options written on defaultable assets 针对违约资产的期权的新颖无套利条件
Journal of Derivatives & Hedge Funds Pub Date : 2014-06-26 DOI: 10.2139/ssrn.2459412
Greg Orosi
{"title":"Novel no-arbitrage conditions for options written on defaultable assets","authors":"Greg Orosi","doi":"10.2139/ssrn.2459412","DOIUrl":"https://doi.org/10.2139/ssrn.2459412","url":null,"abstract":"In this work, we derive an improved lower bound for European-style put options written on defaultable assets. Furthermore, we establish two additional no-arbitrage conditions, one for European-style puts and one for calls, which are tighter than the ones commonly reported in current literature. All of our results are based on static arbitrage arguments and have important implications for constructing arbitrage-free call or put option surfaces. In particular, we point out that the commonly stated conditions required for a call option surface are not always sufficient to generate an arbitrage-free call option surface.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123574838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How many managers? The impact of manager selection skill and fund size 有多少经理?基金经理选择技巧与基金规模的影响
Journal of Derivatives & Hedge Funds Pub Date : 2014-06-26 DOI: 10.1057/JDHF.2014.15
Barry A. Wintner, L. Zaslavskiy, Adil Abdulali
{"title":"How many managers? The impact of manager selection skill and fund size","authors":"Barry A. Wintner, L. Zaslavskiy, Adil Abdulali","doi":"10.1057/JDHF.2014.15","DOIUrl":"https://doi.org/10.1057/JDHF.2014.15","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132981806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Can turnover go to zero? 营业额能归零吗?
Journal of Derivatives & Hedge Funds Pub Date : 2014-05-30 DOI: 10.2139/ssrn.2444031
Zurab Kakushadze
{"title":"Can turnover go to zero?","authors":"Zurab Kakushadze","doi":"10.2139/ssrn.2444031","DOIUrl":"https://doi.org/10.2139/ssrn.2444031","url":null,"abstract":"Internal crossing of trades between multiple alpha streams results in portfolio turnover reduction. Turnover reduction can be modeled using the correlation structure of the alpha streams. As more and more alphas are added, generally turnover reduces. In this note, we use a factor model approach to address the question of whether the turnover goes to zero or a finite limit as the number of alphas N goes to infinity. We argue that the limiting turnover value is determined by the number of alpha clusters F, not the number of alphas N. This limiting value behaves according to the ‘power law’ ∼F−3/2. So, to achieve zero limiting turnover, the number of alpha clusters must go to infinity along with the number of alphas. We further argue on general grounds that, if the number of underlying tradable instruments is finite, then the turnover cannot go to zero, which implies that the number of alpha clusters also appears to be finite.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124982537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The relation between manager description and fund performance Evidence from emerging market hedge funds 基金经理描述与基金业绩的关系——来自新兴市场对冲基金的证据
Journal of Derivatives & Hedge Funds Pub Date : 2014-05-22 DOI: 10.1057/JDHF.2014.10
J. Peltomäki
{"title":"The relation between manager description and fund performance Evidence from emerging market hedge funds","authors":"J. Peltomäki","doi":"10.1057/JDHF.2014.10","DOIUrl":"https://doi.org/10.1057/JDHF.2014.10","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127338106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Probabilistic Monte Carlo model for pricing discrete barrier and compound real options 离散障碍和复合实物期权定价的概率蒙特卡罗模型
Journal of Derivatives & Hedge Funds Pub Date : 2014-05-01 DOI: 10.1057/JDHF.2014.13
Pierre Rostan, Alexandra Rostan, François-Éric Racicot
{"title":"A Probabilistic Monte Carlo model for pricing discrete barrier and compound real options","authors":"Pierre Rostan, Alexandra Rostan, François-Éric Racicot","doi":"10.1057/JDHF.2014.13","DOIUrl":"https://doi.org/10.1057/JDHF.2014.13","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122243140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Improved lower bounds of call options written on defaultable assets 改进了写在可违约资产上的看涨期权下限
Journal of Derivatives & Hedge Funds Pub Date : 2014-04-19 DOI: 10.1057/JDHF.2014.14
Greg Orosi
{"title":"Improved lower bounds of call options written on defaultable assets","authors":"Greg Orosi","doi":"10.1057/JDHF.2014.14","DOIUrl":"https://doi.org/10.1057/JDHF.2014.14","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121861035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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