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Stoyu I. Ivanov
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the...
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Hanan Naser
Pág. 470 - 475
It is widely accepted that inflation erodes purchasing power of retirement savings, redistributes wealth from lenders to borrowers, and threatens private investors' long-term objectives. Thus, there is a high demand on diversifying investors portfolio fo...
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Chris van Heerden, Andre Heymans, Gary van Vuuren, Wilme Brand
Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio d...
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Jean-Marc Le Caillec
In this paper, we present the results of nonlinearity detection in Hedge Fund price returns. The main challenge is induced by the small length of the time series, since the return of this kind of asset is updated once a month. As usual, the nonlinearity ...
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Inzamam Ul Haq, Supat Chupradit and Chunhui Huo
Economic policy uncertainty and particularly COVID-19 has stimulated the need to investigate alternative avenues for policy risk management. In this context, this study examines the dynamic association among economic policy uncertainty, green bonds, clea...
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Nguy?n Công Hào,Nguy?n Van Hán,Phan Công Vinh DOI: 10.26459/hueuni-jtt.v128i2B.5250
In this paper, we study fuzzy graph rewriting with automaton and regular expression. We use hedge algebra and linguistic variables for modeling and reasoning with words. We figure out theorem of limiting in state space. We also prove that both regular la...
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Jalal Seifoddini,Fraydoon Rahnamay Roodposhti,Elahe Kamali
Pág. 17 - 24
We perform a comparative study on the gold-stock market relationship in U.S. stock market as a developed market and in Iran stock market as an emerging market. By considering appropriate variables for emerging markets and by providing a more proper metho...
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Leonardo Oliveira Penna de Carvalho,Ademir Luis Teles Brito,Malu Brandão Moura,Eliane Silva Conceição,Eliane Silva Conceição,Miguel Angel Rivera Castro,Miguel Angel Rivera Castro
Pág. 579 - 595
This work has analyzed the performance of 31 behavioral mutual funds in the USA, Europe and Japan described in Santoni and Kelshiker (2010). Were observed the performances of the funds and their respective benchmarks in four indicators: the Sharpe index,...
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Elitania Leyva Rayón
Los hedge funds son fondos de inversión alternativa para grandes patrimonios e inversores institucionales. Dado que coexisten con los fondos tradicionales y otras entidades financieras en muchos de los mismos mercados y con los mismos activos, ...
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Gustavo Passarelli Giroud Joaquim,Marcelo Leite Moura
Pág. 525 - 548
This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world?s worst financial crisis since the great depr...
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Fábio Augusto Reis Gomes,Vicente Cresto
Pág. 505 - 529
Long-Short Funds should be able to provide positive returns, above the opportunity cost and independent of market conditions, once they can have both long and short positions. For this reason, this study aims to evaluate the Long-Short funds in Brazil, a...
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Richard John Brostowicz Junior,Márcio Poletti Laurini
Pág. 197 - 228
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differenc...
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Nicola Metzger and Vijay Shenai
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance ...
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Caio Almeida,Elaine Fang
Pág. 1 - 37
This paper investigates hedge funds? exposures to various risk factors across different investment strategies through models with both linear and second-order factors. We extend the analysis from an augmented linear model based on Fama & French ...
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Hai Van Pham and Philip Moore
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Ke Chen and Meng Wang
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments o...
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Abdinardo Moreira Barreto de Oliveira, Joséte Florencio dos Santos
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Maria Manuela de Orleans e Bragança,Marcelo de Sales Pessoa
Pág. 93 - 134
This work aims to verify if brazilian Hedge Funds generate positive alphas, that is, if managers have skill and contribute positively to the return of their funds during the period 2003 through 2013. To find the alphas, we estimate a seven-factor model b...
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Urbi Garay, Enrique Ter Horst, German Molina and Abel Rodriguez
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