HEDGE FUND PERFORMANCE: SOURCES AND MEASURES

DOI10.1142/S0219024909005282MaRDI QIDQ3637880zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Dilip B. Madan

Publication date 14 July 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024909005282

zbMATH Keywords

investment alphaskurtosis in returnsSharpe ratiosskewness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(12)

• A \textit{meta}-measure of performance related to both investors and investments characteristics
• Acceptability maximization
• Nonparametric assessment of hedge fund performance
• Zero covariation returns
• Two sided efficient frontiers at multiple time horizons
• Conic portfolio theory
• Dynamic conic hedging for competitiveness
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Maximally acceptable portfolios
• Exposure valuations and their capital requirements
• Investor determined dividend policies
• Performance fees and hedge fund return dynamics

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