Sökning: "PUT Write Index"

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  1. 1. The search for alpha continues. Estimating time-varying risk premia of hedge funds with a conditional model.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Dyrssen; Jakob Gloner; [2011]
    Nyckelord :Abnormal Returns; Conditional Model; Hedge Funds; Principal Components; PUT Write Index; Business and Economics;

    Sammanfattning : Numerous past studies investigating the performance of hedge funds suffer from two distinct problems: unreliable and biased return data inherent in virtually all databases and the use of static asset-pricing models. Using “indexes of indexes” for our hedge fund returns, both free of biases and highly representative, we investigate which risk factors investors are exposed to and whether hedge fund managers are able to consistently yield abnormal returns during the period February 1997 to January 2011. LÄS MER