IDEAS home Printed from https://ideas.repec.org/a/ris/jofitr/1469.html
   My bibliography  Save this article

A Risk Measure for S-Shaped Assets and Prediction of Investment Performance

Author

Listed:
  • Tang, Qi

    () (Department of Mathematics, University of Sussex)

  • Haidar, Haidar

    () (Department of Mathematics, University of Sussex)

  • Minsky, Bernard

    () (International Asset Management Ltd)

  • Thapar, Rishi

    () (International Asset Management Ltd)

Abstract

In this paper, we study the option valuation of S-shaped assets. S-shaped assets are frequently encountered in technological developments, grant funding of research projects, and to a degree, hedge funds and stop-loss controlled trend-following investment vehicles. We conclude that the quantity σ2/μ (variance of return/expected return) replaced the traditional variance risk measure σ2 in the Black-Scholes option valuation formula. We further study the interesting property of σ2/μ in predicting the turning point of performance of a portfolio of hedge funds in the early months of 2008 (and indeed, for earlier historical turning points).

Suggested Citation

  • Tang, Qi & Haidar, Haidar & Minsky, Bernard & Thapar, Rishi, 2012. "A Risk Measure for S-Shaped Assets and Prediction of Investment Performance," Journal of Financial Transformation, Capco Institute, vol. 34, pages 175-181.
  • Handle: RePEc:ris:jofitr:1469
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    s-shaped assets; options valuation; fund of hedge funds;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:jofitr:1469. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Prof. Shahin Shojai). General contact details of provider: http://www.capco.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.