[go: up one dir, main page]

create a website
CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure. (2011). Balbas, Alejandro .
In: INDEM - Working Paper Business Economic Series.
RePEc:cte:idrepe:id-11-04.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 20

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Agarwal, V. and N. Naik, 2004. Risks and portfolio decisions involving hedge funds. Review of Financial Studies, 17, 63-98.

  2. Artzner, P., F. Delbaen, J.M. Eber and D. Heath, 1999. Coherent measures of risk. Mathematical Finance, 9, 203-228.

  3. BalbÃs, A., B. BalbÃs and R. BalbÃs, 2010a. CAPM and APT like models with risk measures. Journal of Banking & Finance, 34, 1166â1174.
    Paper not yet in RePEc: Add citation now
  4. BalbÃs, A., B. BalbÃs and R. BalbÃs, 2010b. Minimizing measures of risk by saddle point conditions. Journal of Computational and Applied Mathematics, 234, 2924-2931.
    Paper not yet in RePEc: Add citation now
  5. Bali, T.G., N. Cakici and F. Chabi-Yo, 2011. A generalized measure of riskiness. Management Science, 57, 8, 1406-1423.

  6. Bossaerts, P., P. Ghirardato, S. Guarnaschelli and W.R. Zame, 2010. Ambiguity in asset markets: Theory and experiment. Review of Financial Studies, 23, 13251359.

  7. Brown, D. and M. Sim, 2009. Satisfying measures for analysis of risky positions. Management Science, 55, 71 - 84.

  8. Calaâore, G.C., 2007. Ambiguous risk measures and optimal robust portfolios. SIAM Journal on Optimization, 18, 3. 853-877.
    Paper not yet in RePEc: Add citation now
  9. Cao, H.H., T. Wang and H.H. Zhang, 2005. Model uncertainty, limited market participation and asset prices. Review of Financial Studies, 18, 1219-1251.

  10. Cochrane, J.H. and J. Saa-Requejo, 2000. Beyond arbitrage: Good deal asset price bounds in incomplete markets. Journal of Political Economy, 108, 79-119.

  11. Epstein, L.G. and M. Schneider, 2008. Ambiguity, information quality and asset pricing. The Journal of Finance, 63, 197-228.

  12. Foster, D.P. and S. Hart, 2009. An operational measure of riskiness. Journal of Political Economy, 117, 785-814.

  13. Garlappi, L., R. Uppal and T. Wang, 2007. Portfolio selection with parameter and model uncertainty: A multi-prior approach. Review of Financial Studies, 20, 41-81.

  14. Gilboa, I. and D. Schmeidler, 1989. Maxmin expected utility with non-unique prior. Journal of Mathematical Economics, 18, 141 - 153.

  15. Goovaerts, M., R. Kaas, J. Dhaene and Q. Tang, 2004. A new classes of consistent risk measures. Insurance: Mathematics and Economics, 34, 505-516.

  16. Luenberger, D.G., 1969. Optimization by vector spaces methods. John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
  17. Maccheroni, F., M. Marinacci and A. Rustichini, 2006. Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica, 74, 1447-1498.

  18. Maurin, K., 1967. Methods of Hilbert spaces. PWN-Polish Scientiâc Publishers.
    Paper not yet in RePEc: Add citation now
  19. Ogryczak, W. and A. Ruszczynski, 2002. Dual stochastic dominance and related mean risk models. SIAM Journal on Optimization, 13, 60-78.
    Paper not yet in RePEc: Add citation now
  20. Phelps, R.R., 2001. Lectures on Choquetâs theorem. Second edition. Lecture
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Portfolio optimization in hedge funds by OGARCH and Markov Switching Model. (2015). Luo, Cuicui ; Wu, Lin-Liang Bill ; Seco, Luis.
    In: Omega.
    RePEc:eee:jomega:v:57:y:2015:i:pa:p:34-39.

    Full description at Econpapers || Download paper

  2. CoVaR. (2014). Brunnermeier, Markus ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:348.

    Full description at Econpapers || Download paper

  3. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

    Full description at Econpapers || Download paper

  4. Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans. (2013). Bouvatier, Vincent ; Rigot, Sandra.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-4.

    Full description at Econpapers || Download paper

  5. Funds of hedge funds: performance, risk and capital formation 2005 to 2010. (2012). Fung, William ; Naik, Narayan ; Hsieh, David ; Edelman, Daniel .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:87-108.

    Full description at Econpapers || Download paper

  6. Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests. (2012). Bessler, Wolfgang ; Kurmann, Philipp ; Holler, Julian.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:109-141.

    Full description at Econpapers || Download paper

  7. Diversification in the hedge fund industry. (2012). Dai, Na ; Cumming, Douglas ; Shawky, Hany A..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:1:p:166-178.

    Full description at Econpapers || Download paper

  8. Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.4562.

    Full description at Econpapers || Download paper

  9. Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.2662.

    Full description at Econpapers || Download paper

  10. Assessing the Performance of Funds of Hedge Funds. (2011). Pirotte Speder, Hugues ; Dewaele, Benoit ; Tuchschmid, N. ; Wallerstein, E..
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/97544.

    Full description at Econpapers || Download paper

  11. Corporate governance and hedge fund activism. (2011). Mooradian, Robert ; Boyson, Nicole .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

    Full description at Econpapers || Download paper

  12. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

    Full description at Econpapers || Download paper

  13. The financial crisis and hedge fund returns. (2011). Bollen, Nicolas .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

    Full description at Econpapers || Download paper

  14. Liquidity Shocks and Hedge Fund Contagion. (2011). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-12.

    Full description at Econpapers || Download paper

  15. CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure. (2011). Balbas, Alejandro .
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-11-04.

    Full description at Econpapers || Download paper

  16. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

    Full description at Econpapers || Download paper

  17. Explaining the returns of active currency managers. (2011). Nasypbek, Sam ; Rehman, Scheherazade S.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

    Full description at Econpapers || Download paper

  18. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  19. Risk measures for autocorrelated hedge fund returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_831_11.

    Full description at Econpapers || Download paper

  20. Connected Stocks. (2010). Polk, Christopher ; Anton, Miguel.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp651.

    Full description at Econpapers || Download paper

  21. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

    Full description at Econpapers || Download paper

  22. Do hedge funds manage their reported returns?. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0709.

    Full description at Econpapers || Download paper

  23. Role of managerial incentives and discretion in hedge fund performance. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0404.

    Full description at Econpapers || Download paper

  24. Reducing estimation risk in optimal portfolio selection when short sales are allowed. (2009). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305.

    Full description at Econpapers || Download paper

  25. Inflation-hedging portfolios in Different Regimes. (2009). Signori, Ombretta ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:09-047.

    Full description at Econpapers || Download paper

  26. Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage. (2009). Dai, John ; Sundaresan, Suresh.
    In: MPRA Paper.
    RePEc:pra:mprapa:16483.

    Full description at Econpapers || Download paper

  27. Market Dispersion and the Profitability of Hedge Funds. (2009). Connor, Gregory ; Li, Sheng.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n2000109.pdf.

    Full description at Econpapers || Download paper

  28. The persistence in hedge fund performance: extended analysis. (2009). Capocci, Daniel ; Daniel P. J. Capocci, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:233-255.

    Full description at Econpapers || Download paper

  29. Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry. (2008). Ruenzi, Stefan ; Kempf, Alexander ; Thiele, Tanja .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0702.

    Full description at Econpapers || Download paper

  30. Regime switching models of hedge fund returns. (2008). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1208.

    Full description at Econpapers || Download paper

  31. Volatility Exposure for Strategic Asset Allocation. (2008). Signori, Ombretta ; Brière, Marie ; Burgues, Alexandre ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:08-034.

    Full description at Econpapers || Download paper

  32. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

  33. Tracking problems, hedge fund replication and alternative beta. (2008). Roncalli, Thierry ; Weisang, Guillaume .
    In: MPRA Paper.
    RePEc:pra:mprapa:37358.

    Full description at Econpapers || Download paper

  34. The Hedge Fund Game. (2008). Young, H. ; Foster, Dean P.
    In: Economics Papers.
    RePEc:nuf:econwp:0801.

    Full description at Econpapers || Download paper

  35. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  36. Do Funds-of-Funds Deserve Their Fees-on-Fees?. (2008). Zhao, Rui ; Rhodes-Kropf, Matthew ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13944.

    Full description at Econpapers || Download paper

  37. Do Hedge Funds Profit From Mutual-Fund Distress?. (2008). Stein, Jeremy ; Hong, Harrison ; Hanson, Samuel ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13786.

    Full description at Econpapers || Download paper

  38. Risk Measurement and Management in a Crisis-Prone World. (2008). Wong, Woon ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2008/14.

    Full description at Econpapers || Download paper

  39. On the relative performance of multi-strategy and funds of hedge funds. (2007). Kale, Jayant R. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0711.

    Full description at Econpapers || Download paper

  40. Hedge funds for retail investors? An examination of hedged mutual funds. (2007). Naik, Narayan Y. ; Agarwal, Vikas ; Boyson, Nicole M..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0704.

    Full description at Econpapers || Download paper

  41. Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; Brooks, Chris ; Cerny, A. ; Miffre, J..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-12.

    Full description at Econpapers || Download paper

  42. Is There Hedge Fund Contagion?. (2006). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12090.

    Full description at Econpapers || Download paper

  43. Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. (2006). Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-38.

    Full description at Econpapers || Download paper

  44. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns. (2006). Garcia, René ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-31.

    Full description at Econpapers || Download paper

  45. Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach. (2005). Olszewski, Yan.
    In: Finance.
    RePEc:wpa:wuwpfi:0507018.

    Full description at Econpapers || Download paper

  46. Estimating Bank Trading Risk: A Factor Model Approach. (2005). O'Brien, James ; Berkowitz, Jeremy .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11608.

    Full description at Econpapers || Download paper

  47. Systemic Risk and Hedge Funds. (2005). Lo, Andrew ; Getmansky, Mila ; Haas, Shane M. ; Chan, Nicholas .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11200.

    Full description at Econpapers || Download paper

  48. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6zx6m7fp.

    Full description at Econpapers || Download paper

  49. Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze. (2004). Merrick, John J. ; Yadav, Pradeep K. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0407.

    Full description at Econpapers || Download paper

  50. Risk and return in convertible arbitrage: Evidence from the convertible bond market. (2004). Naik, Narayan Y. ; Loon, Yee Cheng ; Fung, William H. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0403.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 08:55:52 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.