Hedge 링크

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Title Do hedge funds time market tail risk? Evidence from option-implied tail risk Authors Shin J.-S.; Kim M.; Oh D.; Hedge 링크 Kim T.S. Ewha Authors 신정순 SCOPUS Author ID 신정순 Issue Date Hedge 링크 2019 Journal Title Journal of Futures Markets ISSN 0270-7314 Citation Journal of Futures Markets vol. 39, no. 2, pp. 205 - 237 Keywords Hedge 링크 fund performance; hedge funds; option-implied tail risk; tail risk timing Publisher Wiley-Liss Inc. Indexed SSCI; SCOPUS Document Type Article Abstract This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust Hedge 링크 to various robustness checks. © 2018 Wiley Periodicals, Inc. DOI 10.1002/fut.21972 Appears in Collections: 경영대학 > 경영학전공 > Journal papers Files Hedge 링크 in This Item:

VERY SUCCESSFUL HEDGE FUND in Korean Translation

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Thorp was a very successful hedge fund manager in the 1970s and 1980s that spoke of a similar approach.

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Title Do hedge funds time market tail risk? Evidence from option-implied tail risk Authors Shin J.-S.; Kim M.; Oh D.; Kim T.S. Ewha Authors 신정순 SCOPUS Author ID 신정순 Issue Date 2019 Journal Title Journal of Futures Markets ISSN 0270-7314 Citation Journal of Futures Markets vol. 39, no. 2, pp. 205 - 237 Keywords fund performance; hedge funds; option-implied tail risk; tail risk timing Publisher Wiley-Liss Inc. Indexed SSCI; SCOPUS Document Type Article Abstract This Hedge 링크 paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks. © 2018 Wiley Periodicals, Inc. DOI 10.1002/fut.21972 Appears in Collections: 경영대학 > 경영학전공 > Journal papers Files in This Item:

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Hedging price risk in the presence of quantity risk 원문보기

Abstract

This study presents the problem of static/dynamic hedging taken with quantity risk under Hedge 링크 a minimum-variance criterion. We simply and recursively drew the optimal solution in a dynamic hedge model and compared the hedging performance of a static hedge model. However, the optimal hedge policies hold a.

This study presents the problem of static/dynamic hedging taken with quantity risk under a minimum-variance criterion. We simply and recursively drew the optimal solution in a dynamic hedge model and compared the hedging performance of a Hedge 링크 static hedge model. However, the optimal hedge policies hold a time-inconsistency Hedge 링크 problem that an optimal control by employing the minimum-variance criterion at time 0 is not to remain to be optimal at any latter time. We focus on the economic properties and mechanisms in the hedge portfolio instead of attempting to solve and overcome the problem in the existing literature. The strength of this study is that it provides simple dynamic hedging solutions and conditions that are easily computed and can be suitably applied in the real world via holding time-consistency.

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