The last couple of decades has witnessed a growing interest in hedge funds. Academics
and practitioners are intrigued by the distinct characteristics of these investment vehicles: …

… Giamouridis, 2008, Hedge fund return predictability in the presence of model uncertainty
and implications for wealth allocation, Available at SSRN: http://ssrn.com/abstract=1274201. …

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. We use a …

This article extends the Palepu (1986) acquisition likelihood model by incorporating measures
of a technical nature, eg momentum, trading volume as well as a measure of market …

Mutual fund manager excess performance should be measured relative to their self-reported
benchmark rather than the return of a passive portfolio with the same risk characteristics. …

Alpha factors are built to perform well over time, on average. There are instances when they
do not, and knowing these instances ex ante can be a significant source of added value for …

This article develops a new methodology for estimating implied probability density functions
for futures prices from American options. The restricting Black–Scholes assumption of a …

In this study, we compare a number of different approaches for determining the Value at Risk
(VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR …

… Daniel Giamouridis Daniel Giamouridis is global head of scientific implementation at
Bank of America Merrill Lynch, London and co-editor of the Financial Analysts Journal. …

Risk preference functions across the wealth domain are estimated from option prices and
asset realized returns using: (a) a semiparametric probability model, the Edgeworth Series …