Maturity Structure of a Hedge Matters: Lessons from the Metallgesellschaft Debacle
نویسندگان
چکیده
منابع مشابه
The Value of Liquidity and Option Timing from a Simple Game
In a previous paper, Bhaduri and Whelan (2008), we presented a simple model of hedge fund liquidity. That paper explored the fact that not being able to pull one’s money out of an investment instantaneously at a fair price can have a powerful impact on the portfolio. Real world examples include the 1993 Metallgesellschaft debacle (Smithson, 1998) and the recent difficulties experienced by the B...
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