Explaining the riddle of dollar cost averaging

Dollar cost averaging (DCA) remains a very popular investment strategy, even though it has been demonstrated that in normal circumstances it is mean-variance inefficient.

Updated: 22/09/2011
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Views: 5,461

Hedge fund portfolio construction: a comparison of static and dynamic approaches

This article studies the impact of modeling time varying covariances/correlations of hedge fund returns in terms of hedge fund portfolio construction and risk measurement.

Updated: 29/09/2011
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Views: 5,824

A comparison of alternative approaches for determining the downside risk of hedge fund strategies

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies.

Updated: 29/09/2011
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Views: 5,163

Hedge fund pricing and model uncertainty

This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing.

Updated: 29/09/2011
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Views: 5,115

Unbundling hedge fund beta

This article is concerned with the systematic exposures of equity hedge fund managers.

Updated: 29/09/2011
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Views: 5,613

Regular(ized) hedge fund clones

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication.

Updated: 29/09/2011
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Views: 5,648

The informational content of financial options for quantitative asset management: a review

This paper surveys the literature that deals with the informational content of market option prices for the purposes of quantitative asset management.

Updated: 29/09/2011
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Views: 5,520

Short-term persistence in Greek mutual fund performance

This paper investigates the short-term performance of Greek mutual funds.

Updated: 29/09/2011
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Views: 5,730

Hedge fund return predictability in the presence of model uncertainty and implications for wealth allocation

This paper studies hedge fund return predictability in a multivariate setting.

Updated: 13/10/2011
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Views: 5,190