The performance of hedge fund strategies and the asymmetry of return distributions
B Ding, HA Shawky - European Financial Management, 2007 - Wiley Online Library
We present hedge fund performance estimates that adjust for stale prices, Fama‐French risk
factors and skewness. We contrast these new performance estimates with traditional …
factors and skewness. We contrast these new performance estimates with traditional …
Case study of event risk management with options strangles and straddles
C Kownatzki, B Putnam, A Yu - Review of Financial Economics, 2022 - Wiley Online Library
Event risk environments may involve an elevated probability of both volatility regime shifts
and sharp, abrupt price changes, either up or down. Purely direction‐oriented risk …
and sharp, abrupt price changes, either up or down. Purely direction‐oriented risk …
Disentangling cognitive bias in the assessment of investment decisions: Derivation of generalized conditional risk attribution
N Okuyama, G Francis - The Journal of Behavioral Finance, 2006 - Taylor & Francis
Conventional performance measurement methods concentrate on investment outcomes
rather than the underlying investment process. This paper examines the effectiveness of the …
rather than the underlying investment process. This paper examines the effectiveness of the …