DETERMINANTS OF RISK AND RETURN ON ALTERNATIVE INVESTMENTS FUNDS
نویسندگان
چکیده
منابع مشابه
Hedge Funds: Risk and Return
ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...
متن کاملPortfolios with Hedge Funds and Other Alternative Investments
We develop a flexible simulation-based optimization (SBO) method for the construction of optimal portfolios including hedge funds and other types of alternative investments. This method takes into account the skew and kurtosis of asset returns, the time series structure of asset returns, and the asymmetric nature of investor preferences for gains versus losses. Johnson (1949) translation is use...
متن کاملRisk, Return and Cash Flow Characteristics of Infrastructure Fund Investments∗
We analyze the risk, return and cash flow characteristics of infrastructure investments by using a unique dataset of deals done by private-equity-like investment funds. We show that infrastructure deals have a performance that is higher than that of non-infrastructure deals, despite lower default frequencies. However, we do not find that infrastructure deals offer more stable cash flows. Our pa...
متن کاملEvaluating IT Fashion Investments regarding Risk and Return
IT fashions are IT innovations within a hyped phase. They are on the rise and claimed to be “the next big thing”. Investing in IT fashions bears potential for high returns in case the technology becomes institutionalized and first mover advantages can be realized. Contrary, it bears the risk of investing in a losing technology. By waiting for others to make the first move organizations bypass t...
متن کاملAsset Allocation: Risk Models for Alternative Investments
Often, the lack of mark-to-market data lures investors into the misconception that alternative asset classes and strategies represent somewhat of a “free lunch.” This article proposes solutions to measuring mark-tomarket risk in alternative and illiquid investments. The authors describe how to estimate risk factor exposures when the available asset return series may be smoothed (owing to the di...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Poslovna izvrsnost - Business excellence
سال: 2017
ISSN: 1846-3355,1848-9060
DOI: 10.22598/pi-be/2017.11.1.71