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- W192174858 abstract "High level of interest has been concentrated on the hedge fund industry as a paradigm of alternative investments, however the hedge fund industry is a heterogeneous group. One way to classify hedge funds is according to the investment strategy used, each offering a different degree of return and risk. Their historical return distributions provide key information in order to understand the strategies behaviour. We will study these return distributions and show that traditional mean variance based methods are not an appropriate approach for studying them due to their non normality, tendency to overestimate efficiency and for not taking in consideration the economic cycle.We will show that assimilating the strategies historical returns to options pay-offs we can get, through a low intensive trading, very similar long term returns and more efficient return distributions. These results will enable us to analyse whether, current hedge funds fee structures are justified by superior risk-reward performance." @default.
- W192174858 created "2016-06-24" @default.
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- W192174858 date "2012-06-01" @default.
- W192174858 modified "2023-10-07" @default.
- W192174858 title "Analysing Hedge Fund Strategies through the Use of an Option Based Approach" @default.
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