In India the history of commodity derivatives market has a long history, though a structured and exchange traded derivative trading is not more than a decade long. The derivatives market is established for the main purpose of hedging the price risk. Since the inception of derivatives, the concern of how much to hedge technically called the hedge ratio is widely debated and discussed. In present...

This paper describes the approach to hedge detection we developed, in order to participate in the shared task at CoNLL 2010. A supervised learning approach is employed in our implementation. Hedge cue annotations in the training data are used as the seed to build a reliable hedge cue set. Maximum Entropy (MaxEnt) model is used as the learning technique to determine uncertainty. By making use of...

Hedge funds are in a better position than mutual funds in timing systematic risk factors because they are less regulated and thus have more freedom to use leverage and short sales. To examine whether factor timing is a source of hedge fund alpha, this paper decomposes excess return generated by hedge funds during 1994 – 2008 into security selection, factor timing, and risk premium using the new...

To estimate the premium an investor should expect from extended hedge fund lockups, Derman et al. (2009) proposed a three-state discrete-time Markov Chain to model the state of a hedge fund, allowing the state to change randomly among the states “good,” “sick” and “dead” every year. The lockup premium measures the consequence of being stuck with a sick fund. To be more realistic, we propose an ...

Hedge funds have the most sophisticated risk management practices; however, hedge funds also appear to have a short lifetime relative to other managed funds. In this study, we investigate the failure probabilities of hedge funds—particularly the failures due to financial distress. We forecast the failure probabilities of hedge funds using both a proportional hazard model and a logistic model. B...

This paper examines the causes and consequences of hedge fund activism. Hedge funds target profitable and healthy firms, with above-average cash holdings. The target firms earn significantly higher abnormal stock returns around the initial 13D filing date than a sample of control firm. However, they do not show improvements in accounting performances in the year after the initial purchase. Inst...

In [13], an algebraic approach to the natural structure of domains of linguistic variables was introduced. In this approach, every linguistic domain can be interpreted as an algebraic structure called a hedge algebra. In this paper, a refinement structure of hedge algebras based on free distributive lattices generated by linguistic hedge operations will be examined in order to model structure o...

THE JOURNAL OF ALTERNATIVE INVESTMENTS 9 I t is now well established that the construction of optimal hedge fund portfolios requires techniques that reach well beyond traditional mean variance analysis. For example, Brooks and Kat [2002] demonstrate that various hedge fund strategies have more downside than upside risk—returns exhibit negative skew and excess kurtosis. Lo [2001] and Anson [2002...

Over the recent past, stylized facts have not yielded a synthesis regarding the predictability of returns for alternative investment assets such as hedge funds. Recent studies on alternative asset return predictability have added to the ambiguity. These studies suggest that classification prediction methods may dominate more traditional return-level prediction methodology. This paper examines t...