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Technical papers
Regulatory debate continues on merits of short selling in turbulent markets
Regulators continue to disagree on rules to curtail short selling. Empirical evidence suggests constraining short sales significantly reduces market quality and can have unintended consequences.
Hedge Funds Review | 08 Aug 2011
Edhec research reveals negative correlation between private equity deal performance and duration
Research shows a strong negative association between performance and duration for private equity deals. Quick flips account for 12% of all PE investments with a median internal rate of return of 85%.
Hedge Funds Review | 04 Jul 2011
Investors tracking maturity-enhanced commodity indexes face liquidity risk
An analysis of commodity indexes shows there is some economic value from trading distant contracts beyond a fair compensation for taking liquidity risk.
Hedge Funds Review | 01 Jun 2011
Cross-sectional variance shown to be good proxy for Idiosyncratic volatility and expected returns
Research shows the cross-sectional variance is a good proxy for the idiosyncratic variance obtained from the CAPM or the Fama-French models and does has a positive relationship with expected returns.
Hedge Funds Review | 06 May 2011
Option pricing and hedging problems cause basis risk
Option pricing and hedging cause problems when a futures contract is written on the underlying asset for the underlying asset. Using the optimal strategy is likely to generate meaningful welfare gains.......
Hedge Funds Review | 04 Apr 2011
Ratings needed for non-financial risks in European Union funds management industry
Strengthening of capital requirements and better information to evaluate non-financial risks are important for hedge funds. Fund governance needs to be strengthened to manage non-financial risks.
Hedge Funds Review | 01 Mar 2011
Regulation has not kept pace with innovation in the fund management industry
The Ucits directive fails to make adequate allowances for the operational consequences of financial innovation. Non-financial risk has increased and regulations contributed to this rise.
Hedge Funds Review | 01 Feb 2011
Optimal portfolio selection in the presence of non-normally distributed asset returns
Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.
Hedge Funds Review | 01 Dec 2010
Option pricing and hedging in the presence of cross-hedge risk
Dynamic hedging as an option is a possibility when the underlying asset is not available for trading and some other asset or portfolio is used as a substitute, although this may not always happen.
Hedge Funds Review | 31 Oct 2010
Risk appetite of long-term investors shows mixed attitude towards illiquid assets
Academic research and survey results on portfolio construction and the relative merits of investing in illiquid assets such as hedge funds for long-term institutional investors show diversity is key.
Hedge Funds Review | 05 Oct 2010
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