Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 64 for “"hedge funds"”.
-
Activist hedge funds
Hedge funds have played a significant role in shareholder activism in the U.S. They have appeared quite frequently in the media as the driving force behind changes in firms' management that generate higher returns on their investments. Nonetheless, many wonder whether they really bring long-term …
-
An empirical study of hedge funds
Hedge Funds are one of the fastest growing, yet least understood, category of alternate investment vehicles. They are pooled investment vehicles that use leverage, short-selling, dynamic hedging and derivatives to implement investment strategies significantly different from the non-leveraged, …
-
Hedge funds and higher moment portfolio selection
… central limit theorem, the returns of several hedge fund indices exhibit distributional characteristics inconsistent with normality. In this context, this study empirically compares the Markowitz (1952) mean-variance optimisation technique with a higher moment methodology recently proposed by …
-
Hedge funds and higher moment portfolio selection
… strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility …
-
Strategic asset selection taxonomy : fund of hedge funds
… a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard …
-
Analysis of hedge funds' performance in South Africa
Includes abstract. Includes bibliographical references.
-
Factor-based replication of hedge funds using a state space model
… technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones which attempt to replicate the returns of …
-
Essays on Performance Evaluation of Portfolio Managers of Mutual and Hedge Funds
… evaluation of portfolio managers of mutual and hedge funds. The first essay shows the performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. I test several models and find considerable variation in quality. That variation leads to …
-
Exploring optimal mixed-asset portfolio allocation : hedge funds and private equity vs. real assets
… is to compare real estate and real assets with hedge funds and private equity, the four most prevalent sub-classes within alternative investments. Specifically, we address the question of whether, or to what extent, real assets including real estate can improve the performance of institutional …
-
Do Hedge Funds Activities lead to higher market evaluations of companies by increasing shareholder value.
La investigación de esta tesis se centra en las empresas objetivo que cotizan en bolsa en EE.UU., documentadas por el calendario de la SEC, lo que proporciona una plataforma perfecta para examinar los rendimientos obtenidos por las operaciones de los fondos de cobertura. Una compra de al menos el …
-
The taxation of investment returns arising in collective investment schemes as compared to hedge funds
… the taxation of the investment returns from a hedge fund to those derived from a collective investment scheme. Taxation within the investment entity and in the hands of the investor were considered, this yielding the overall effective tax rate on the return. The scope of the comparison was …
-
A Markowitz mean-variance analysis of hedge fund investments for multi-asset class portfolio holders in South Africa
This research aims to provide insight into the hedge fund industry in South Africa. The focus is on retirement funds and the use of hedge funds in a multi-asset class portfolio. Diversification is an important tool for portfolio managers who make use of correlation to achieve higher risk-adjusted …
-
Essays in asset pricing and market imperfections
… investors choose optimal portfolios not only to hedge the risk of asset fundamentals, but also to hedge the risk of potential liquidity crashes. The potentially illiquid assets tend to have a lower price, a higher volatility, and a lower volume turn-over. Liquidity hedging could induce high …
-
Hedge fund of funds investment process : a South African perspective
… is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes a three tiered process, adapted from the works of Lo (2008). Step one of the proccess involves the categorisation of hedge funds into broadly defined groups based on predefined …
-
Essays in hedge fund replication, evaluation and synthetic funds
… returns with statistical properties similar to hedge funds. It is shown that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication is accomplished by trading futures on …
-
Hedge Fund Performance and Derivative Hedging
… is comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The …
-
Hedgefonds in Deutschland und die Auswirkungen auf Corporate Governance im Sinne des Deutschen Corporate Governance Kodex
This thesis investigates what implications hedge funds have on the corporate governance in accordance with the German Corporate Governance Code (GCGC) of listed companies in Germany. By using an extensive hand-collected data set of more than 200 potential target companies across the four major …
-
Investments unwrapped : demystifying and automating technical analysis and hedge-fund strategies
… to model two common investment strategies: hedge funds and technical analysis. Our models provide transparent and low-cost alternatives to these two nontransparent, and in some cases prohibitively costly, financial approaches. In the case of hedge funds, we estimate linear factor models to …
-
Hedge fund structured products
… their asset allocation strategies. Interest in hedge funds and alternative investment styles is growing as investors realize these investments offer better return potential with relatively low correlation to traditional asset classes. However, returns of hedge funds have been somewhat lackluster …
Page 1 of 4