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Harry M. Kat

Personal Details

First Name:Harry
Middle Name:M.
Last Name:Kat
Suffix:
RePEc Short-ID:pka163
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http://www.cass.city.ac.uk/airc

Affiliation

Bayes Business School
City University

London, United Kingdom
http://www.bayes.city.ac.uk/
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Harry. M Kat, 2002. "Indexation doesn't make sense," ICMA Centre Discussion Papers in Finance icma-dp2002-26, Henley Business School, University of Reading.
  2. Harry. M Kat, 2002. "In Search of the Optimal Fund of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-24, Henley Business School, University of Reading.
  3. Harry. M Kat, 2002. "Taking the Sting out of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-22, Henley Business School, University of Reading.
  4. Harry. M Kat & Faye Menexe, 2002. "Persistence in Hedge Fund Performance: The True Value of a Track Record," ICMA Centre Discussion Papers in Finance icma-dp2002-13, Henley Business School, University of Reading.
  5. Harry. M Kat, 2002. "Managed Features and Hedge Funds:," ICMA Centre Discussion Papers in Finance icma-dp2002-25, Henley Business School, University of Reading.
  6. Harry. M Kat & Sa Lu, 2002. "An Excursion into the Statistical Properties of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-12, Henley Business School, University of Reading.
  7. Gaurav Amin & Harry. M Kat, 2002. "Stocks, Bond and Hedge Funds: Not a Free Lunch," ICMA Centre Discussion Papers in Finance icma-dp2002-11, Henley Business School, University of Reading.
  8. Gaurav Amin & Harry. M Kat, 2002. "Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds," ICMA Centre Discussion Papers in Finance icma-dp2002-06, Henley Business School, University of Reading.
  9. Gaurav Amin & Harry. M Kat, 2002. "Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2002-15, Henley Business School, University of Reading.
  10. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, University of Reading.
  11. Gaurav Amin & Harry. M Kat, 2002. "Portfolios of Hedge Funds What Investors Really Invest In," ICMA Centre Discussion Papers in Finance icma-dp2002-07, Henley Business School, University of Reading.
  12. Harry. M Kat, 2002. "The Dangers of Using Correlation to Measure Dependence," ICMA Centre Discussion Papers in Finance icma-dp2002-23, Henley Business School, University of Reading.
  13. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
  14. Chris Brooks & Harry. M Kat, 2001. "The Statistical Properties of Hedge Fund Index Returns," ICMA Centre Discussion Papers in Finance icma-dp2001-09, Henley Business School, University of Reading.
  15. Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, University of Reading, revised Jan 2002.
  16. Harry. M Kat, 2000. "OTC Derivatives for Retail Investors," ICMA Centre Discussion Papers in Finance icma-dp2000-11, Henley Business School, University of Reading.

Articles

  1. Amin, Gaurav S. & Kat, Harry M., 2003. "Hedge Fund Performance 1990–2000: Do the “Money Machines†Really Add Value?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 251-274, June.
  2. Harry M. Kat, 2002. "Some Facts about Hedge Funds," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 3(2), pages 93-123, April.
  3. R. C. Heynen & H. M. Kat, 1995. "Lookback options with discrete and partial monitoring of the underlying price," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(4), pages 273-284.

Chapters

  1. Harry M. Kat, 2005. "Managed Futures And Hedge Funds: A Match Made In Heaven," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 6, pages 129-139, World Scientific Publishing Co. Pte. Ltd..
  2. Harry M. Kat, 2005. "The Dangers Of Mechanical Investment Decision-Making: The Case Of Hedge Funds," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 3, pages 49-62, World Scientific Publishing Co. Pte. Ltd..

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Harry. M Kat, 2002. "Taking the Sting out of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-22, Henley Business School, University of Reading.

    Cited by:

    1. Harry. M Kat, 2002. "In Search of the Optimal Fund of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-24, Henley Business School, University of Reading.

  2. Harry. M Kat & Faye Menexe, 2002. "Persistence in Hedge Fund Performance: The True Value of a Track Record," ICMA Centre Discussion Papers in Finance icma-dp2002-13, Henley Business School, University of Reading.

    Cited by:

    1. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    2. Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2006. "Heterogenität von Hedgefondsindizes," Frankfurt School - Working Paper Series 71, Frankfurt School of Finance and Management.
    3. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.

  3. Harry. M Kat & Sa Lu, 2002. "An Excursion into the Statistical Properties of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-12, Henley Business School, University of Reading.

    Cited by:

    1. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    2. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    3. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    4. Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
    5. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
    6. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
    7. Johan Knif & Dimitrios Koutmos & Gregory Koutmos, 2019. "Modeling the Risk Dynamics of Hedge Funds," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(1), pages 1-3.
    8. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

  4. Gaurav Amin & Harry. M Kat, 2002. "Stocks, Bond and Hedge Funds: Not a Free Lunch," ICMA Centre Discussion Papers in Finance icma-dp2002-11, Henley Business School, University of Reading.

    Cited by:

    1. Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008. "Is There Hedge Fund Contagion?," Working Papers 08-2, University of Pennsylvania, Wharton School, Weiss Center.

  5. Gaurav Amin & Harry. M Kat, 2002. "Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2002-15, Henley Business School, University of Reading.

    Cited by:

    1. Marcos Mailoc López de Prado & Achim Peijan, 2005. "Measuring Loss Potential of Hedge Fund Strategies," Finance 0503010, University Library of Munich, Germany.

  6. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, University of Reading.

    Cited by:

    1. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    2. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    3. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    4. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    5. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    6. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.

  7. Gaurav Amin & Harry. M Kat, 2002. "Portfolios of Hedge Funds What Investors Really Invest In," ICMA Centre Discussion Papers in Finance icma-dp2002-07, Henley Business School, University of Reading.

    Cited by:

    1. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    2. Aleksandra Stankovska & Savica Dimitrieska, 2016. "Hedge Funds – Alternative Investment," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 12(2), pages 111-123.

  8. Harry. M Kat, 2002. "The Dangers of Using Correlation to Measure Dependence," ICMA Centre Discussion Papers in Finance icma-dp2002-23, Henley Business School, University of Reading.

    Cited by:

  9. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.

    Cited by:

    1. Mason Woo & Gregory Connor, 2004. "(IAM Series No 002) An Intro to Hedge Funds," FMG Discussion Papers dp477, Financial Markets Group.
    2. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, University of Reading.
    3. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    4. Connor, Gregory & Woo, Mason, 2004. "An Introduction to hedge funds," LSE Research Online Documents on Economics 24675, London School of Economics and Political Science, LSE Library.

  10. Chris Brooks & Harry. M Kat, 2001. "The Statistical Properties of Hedge Fund Index Returns," ICMA Centre Discussion Papers in Finance icma-dp2001-09, Henley Business School, University of Reading.

    Cited by:

    1. Christian Manicaro & Joseph Falzon, 2017. "Hedge funds risk and connectedness," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 295-316, July.
    2. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
    3. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    4. Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    5. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
    6. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    7. Rajna Gibson & Sébastien Gyger, 2007. "The Style Consistency of Hedge Funds," European Financial Management, European Financial Management Association, vol. 13(2), pages 287-308, March.
    8. Sabrina Khanniche, 2009. "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers 2009-46, University of Paris Nanterre, EconomiX.
    9. Albert Banal-Estañol & Marco Ottaviani & Andrew Winton, 2013. "The Flip Side of Financial Synergies: Coinsurance versus Risk Contamination," Working Papers 484, Barcelona School of Economics.
    10. Gaurav Amin & Harry. M Kat, 2002. "Portfolios of Hedge Funds What Investors Really Invest In," ICMA Centre Discussion Papers in Finance icma-dp2002-07, Henley Business School, University of Reading.
    11. Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400, HAL.
    12. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    13. ABEDALFATTAH Zuhair Al-Abedallat & FARIS Nasif AL- Shubiri, 2013. "Analysis The Determinants Of Credit Risk In Jordanian Banking: An Empirical Study," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 5(3), pages 21-31, September.
    14. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    15. Harry. M Kat & Sa Lu, 2002. "An Excursion into the Statistical Properties of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-12, Henley Business School, University of Reading.
    16. Gian Luca Tassinari & Corrado Corradi, 2013. "Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1991-2010, December.
    17. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data," Working Papers 2008_11, Department of Economics, University of Venice "Ca' Foscari".
    18. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    19. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The Necessity to Correct Hedge Fund Returns: Empirical Evidence and Correction Method," Working Papers CEB 07-034.RS, ULB -- Universite Libre de Bruxelles.
    20. Gaurav Amin & Harry. M Kat, 2002. "Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds," ICMA Centre Discussion Papers in Finance icma-dp2002-06, Henley Business School, University of Reading.
    21. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
    22. Mark C. Hutchinson & Liam A. Gallagher, 2010. "Convertible Bond Arbitrage: Risk and Return," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 206-241, January.
    23. Gaurav Amin & Harry. M Kat, 2002. "Stocks, Bond and Hedge Funds: Not a Free Lunch," ICMA Centre Discussion Papers in Finance icma-dp2002-11, Henley Business School, University of Reading.
    24. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
    25. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
    26. Chris Brooks & Alešs Černý & Joëlle Miffre, 2012. "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(10), pages 909-944, October.
    27. Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018. "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 302-315.
    28. Harry. M Kat, 2002. "The Dangers of Using Correlation to Measure Dependence," ICMA Centre Discussion Papers in Finance icma-dp2002-23, Henley Business School, University of Reading.
    29. Jacques Pezier & Anthony White, 2006. "The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios," ICMA Centre Discussion Papers in Finance icma-dp2006-10, Henley Business School, University of Reading.
    30. Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance icma-dp2008-05, Henley Business School, University of Reading, revised Dec 2008.
    31. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

  11. Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, University of Reading, revised Jan 2002.

    Cited by:

    1. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," IDEI Working Papers 620, Institut d'Économie Industrielle (IDEI), Toulouse.
    2. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
    3. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
    4. Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick, 2013. "Measuring the performance of hedge funds using two-stage peer group benchmarks," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Jun 2013.
    5. Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010. "Econometric Models and the Evolution of Post-Offices Network," IDEI Working Papers 626, Institut d'Économie Industrielle (IDEI), Toulouse.
    6. Marina Agranov & Alberto Bisin & Andrew Schotter, 2014. "An experimental study of the impact of competition for Other People’s Money: the portfolio manager market," Experimental Economics, Springer;Economic Science Association, vol. 17(4), pages 564-585, December.

Articles

  1. Amin, Gaurav S. & Kat, Harry M., 2003. "Hedge Fund Performance 1990–2000: Do the “Money Machines†Really Add Value?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 251-274, June.

    Cited by:

    1. Lim, Chansu & Lee, Jongsu, 2020. "An analysis of the efficiency of the oil refining industry in the OECD countries," Energy Policy, Elsevier, vol. 142(C).
    2. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    3. Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    4. Kooli, Maher & Stetsyuk, Ivan, 2021. "Are hedge fund managers skilled?," Global Finance Journal, Elsevier, vol. 49(C).
    5. Carol Alexander & Anca Dimitriu, 2005. "Detecting Switching Strategies in Equity Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-07, Henley Business School, University of Reading.
    6. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
    7. Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
    8. Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
    9. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    10. Stoforos, Chrysostomos E. & Degiannakis, Stavros & Palaskas, Theodosios B., 2017. "Hedge fund returns under crisis scenarios: A holistic approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1196-1207.
    11. Sang Hyuck Kim & Woo Gon Kim, 2011. "Re-Examining the Determinants of Executive Compensation in the Restaurant Industry: A Quantile Regression Approach," Tourism Economics, , vol. 17(5), pages 1035-1054, October.
    12. Ouatik El-Alaoui, AbdelKader & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2018. "Does low leverage minimise the impact of financial shocks? New optimisation strategies using Islamic stock screening for European portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 160-184.
    13. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.
    14. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    15. Mason Woo & Gregory Connor, 2004. "(IAM Series No 002) An Intro to Hedge Funds," FMG Discussion Papers dp477, Financial Markets Group.
    16. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    17. Mario Fischer & Matthias X. Hanauer & Robert Heigermoser, 2016. "Synthetic hedge funds," Review of Financial Economics, John Wiley & Sons, vol. 29(1), pages 12-22, April.
    18. Pawel Siarka, 2012. "Implementation of the Stress Test Methods in the Retail Portfolio," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-2.
    19. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
    20. Rodolfo Apreda, 2014. "Another viewpoint on investment funds. And their opaque governance," CEMA Working Papers: Serie Documentos de Trabajo. 535, Universidad del CEMA.
    21. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "A new efficiency test for ranking investments: Application to hedge fund performance," Economics Letters, Elsevier, vol. 181(C), pages 203-207.
    22. Jakub W. Jurek & Erik Stafford, 2011. "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers 12-013, Harvard Business School.
    23. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
    24. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    25. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CARF F-Series CARF-F-308, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2013.
    26. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," FMG Discussion Papers dp591, Financial Markets Group.
    27. Noël Amenc & Lionel Martellini & Jean†Christophe Meyfredi & Volker Ziemann, 2010. "Passive Hedge Fund Replication – Beyond the Linear Case," European Financial Management, European Financial Management Association, vol. 16(2), pages 191-210, March.
    28. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CIRJE F-Series CIRJE-F-624, CIRJE, Faculty of Economics, University of Tokyo.
    29. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
    30. María dela O. González & Nicolas A. Papageorgiou & Frank S. Skinner, 2016. "Persistent Doubt: An Examination of Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 22(4), pages 613-639, September.
    31. Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
    32. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    33. Shady Aboul-Enein & Georges Dionne & Nicolas Papageorgiou, 2013. "Performance analysis of a collateralized fund obligation (CFO) equity tranche," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 518-553, July.
    34. Jordão, Gustavo A. & Moura, Marcelo L., 2011. "Performance Analysis of Brazilian Hedge Funds," Insper Working Papers wpe_236, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    35. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
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    37. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
    38. Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016. "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, vol. 31(C), pages 25-42.
    39. Guo, Biao & Xiao, Yugu, 2016. "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, vol. 16(C), pages 248-254.
    40. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
    41. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    42. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2010. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08, University of Cologne, Centre for Financial Research (CFR).
    43. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
    44. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers) 831, Bank of Italy, Economic Research and International Relations Area.
    45. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    46. Marc N. Atlan & Hélyette Geman & Marc Yor, 2006. "Options on Hedge Funds under the High Water Mark Rule," Working Papers hal-00012382, HAL.
    47. Abugri, Benjamin A. & Dutta, Sandip, 2009. "Emerging market hedge funds: Do they perform like regular hedge funds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 834-849, December.
    48. Denvir, Emily & Hutson, Elaine, 2006. "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 4-22, February.
    49. Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
    50. Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
    51. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.
    52. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
    53. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
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  2. R. C. Heynen & H. M. Kat, 1995. "Lookback options with discrete and partial monitoring of the underlying price," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(4), pages 273-284.

    Cited by:

    1. Tian-Shyr Dai & Yuh-Yuan Fang & Yuh-Dauh Lyuu, 2005. "Analytics for geometric average trigger reset options," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 835-840.
    2. Hoi Wong & Yue Kwok, 2003. "Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks," Review of Derivatives Research, Springer, vol. 6(2), pages 83-106, May.
    3. Rahman Farnoosh & Hamidreza Rezazadeh & Amirhossein Sobhani & M. Hossein Beheshti, 2016. "A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 131-145, June.
    4. San‐Lin Chung & Yi‐Ta Huang & Pai‐Ta Shih & Jr‐Yan Wang, 2019. "Semistatic hedging and pricing American floating strike lookback options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 418-434, April.
    5. Leonardo Perotti & Lech A. Grzelak, 2022. "On Pricing of Discrete Asian and Lookback Options under the Heston Model," Papers 2211.03638, arXiv.org, revised Feb 2024.
    6. Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
    7. Kim, Geonwoo & Jeon, Junkee, 2018. "Closed-form solutions for valuing partial lookback options with random initiation," Finance Research Letters, Elsevier, vol. 24(C), pages 321-327.
    8. Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
    9. Farid Aitsahlia & Tzeung Le Lai, 1998. "Random walk duality and the valuation of discrete lookback options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 227-240.
    10. Lee, Hangsuck & Kim, Eunchae & Ko, Bangwon, 2022. "Valuing lookback options with barrier," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).

Chapters

  1. Harry M. Kat, 2005. "Managed Futures And Hedge Funds: A Match Made In Heaven," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 6, pages 129-139, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Mihovil Anðelinoviæ & Filip Škunca, 2023. "Optimizing insurers investment portfolios: incorporating alternative investments," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 41(2), pages 361-389.

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