This article introduces the concept of asymmetric hedge fond replication based on the risk
factor model approach. The presented methodology is founded on downside risk …

Purpose The purpose of this paper is to review and evaluate the methods commonly used in
accounting literature to correct for cointegrated data and data that are neither stationary nor …

Hedge funds do not constitute a homogeneous asset class but follow a wide range of
dynamic trading strategies (or" styles") that are dramatically different from those of traditional …

… In “Regime-Dependent Nonlinear Analysis of Hedge Funds "Jan Viebig, Thorsten Poddig,
and Panagiotis BallisPapanastasiou introduce a regime-dependent nonlinear model to …

A complete resource for finance students, this textbook presents the most common empirical
approaches in finance in a comprehensive and well-illustrated manner that shows how …

In this article, the authors introduce a regime-dependent nonlinear model to explain the
nonlinear return and risk characteristics of hedge funds. The explanatory power of their regime-…

The definitive and timeless guide to the principles of banking and finance, addressing and
meeting the challenges of competition, strategy, regulation and the digital age. Moorad …

The impact of the recent global financial crisis has been deep and broad, blanketing the
financial and economic landscape and hammering the hedge fund industry. Using both active …

Hedge fund replication is a means for allowing investors to achieve hedge fund-like returns,
which are usually only available to institutions. Hedge funds in total have over $3 trillion in …

This article studies the joint impact of smoothing and fat tails on the risk-return properties of
hedge fund strategies. First, the authors adjust risk and performance measures for illiquidity …