Hedge funds trading strategies and leverage

DOI10.1016/J.JEDC.2023.104637MaRDI QIDQ6109935zbMATH OpenOpenAlexFDO

Authors Wenli Huang, Wenqiong Liu, Lei Lu, Congming Mu

Publication date 4 July 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104637

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• The incentives of hedge fund fees and high-water marks
• Hedge fund's dynamic leverage decisions under time-inconsistent preferences
• Fit for leverage -- modelling of hedge fund returns in view of risk management purposes
• Performance fees and hedge fund return dynamics
• Leverage management

Cites work

• A rational theory of mutual funds' attention allocation
• Consumption utility-based pricing and timing of the option to invest with partial information
• Hedge fund's dynamic leverage decisions under time-inconsistent preferences
• Learning over the business cycle: policy implications
• Optimal investment strategy under time-inconsistent preferences and high-water mark contract

Cited in

(7)

• Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
• Hedge fund's dynamic leverage decisions under time-inconsistent preferences
• Operating leverage
• The impact of security trading on corporate restructurings
• PROFIT SHARING IN HEDGE FUNDS
• A Bayesian learning model of hedge fund performance
• Systemic risks in the shadow: an extreme value analysis of hedge funds

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