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Harry M. Kat

Personal Details

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

Affiliation

Cass Business School
City University

London, United Kingdom
http://www.cass.city.ac.uk/

: +44 (0) 20 7040 8600

106 Bunhill Row, London EC1Y 8TZ
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, Reading University.
  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, Reading University.
  3. Harry. M Kat, 2002. "Taking the Sting out of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-22, Henley Business School, Reading University.
  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, Reading University.
  5. Harry. M Kat, 2002. "Managed Features and Hedge Funds:," ICMA Centre Discussion Papers in Finance icma-dp2002-25, Henley Business School, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University.
  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, Reading University, 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, Reading University.
  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, Reading University, 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, Reading University.

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(02), 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: 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: 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 & 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, Reading University.

    Cited by:

    1. 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.
    2. 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.
    3. Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2006. "Heterogenität von Hedgefondsindizes," Frankfurt School - Working Paper Series 71, Frankfurt School of Finance and Management.

  2. 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, Reading University.

    Cited by:

    1. 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.
    2. 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.
    3. Mark Hutchinson & Liam Gallagher, 2008. "Simulating convertible bond arbitrage portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1247-1262.
    4. 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.
    5. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    6. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    7. Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.

  3. 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, Reading University.

    Cited by:

    1. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006. "Is There Hedge Fund Contagion?," NBER Working Papers 12090, National Bureau of Economic Research, Inc.

  4. 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, Reading University.

    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.

  5. 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, Reading University.

    Cited by:

    1. Serge Darolles & Christian Gourieroux, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Post-Print halshs-00677727, HAL.

  6. 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, Reading University.

    Cited by:

    1. 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.
    2. Simone Brands & David R. Gallagher, 2005. "Portfolio selection, diversification and fund-of-funds: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 185-197.

  7. 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, Reading University, revised Sep 2001.

    Cited by:

    1. 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, Reading University.

  8. 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, Reading University.

    Cited by:

    1. 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.
    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. 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).
    4. 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.
    5. 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 235-338 National Bureau of Economic Research, Inc.
    6. 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, Reading University.
    7. Sabrina Khanniche, 2009. "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers 2009-46, University of Paris Nanterre, EconomiX.
    8. Albert Banal-Estañol & Marco Ottaviani & Andrew Winton, 2013. "The Flip Side of Financial Synergies: Coinsurance versus Risk Contamination," Working Papers 484, Barcelona Graduate School of Economics.
    9. 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, Reading University.
    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, Reading University.
    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. 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.
    13. 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, Reading University.
    14. 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.
    15. 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.
    16. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    17. Harry. M Kat, 2002. "The Dangers of Using Correlation to Measure Dependence," ICMA Centre Discussion Papers in Finance icma-dp2002-23, Henley Business School, Reading University.
    18. 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, Reading University, revised Dec 2008.
    19. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

  9. 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, Reading University, 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, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
    3. 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.
    4. 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.

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(02), pages 251-274, June.

    Cited by:

    1. 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.
    2. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universitiy of Montpellier, revised Sep 2012.
    3. 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).
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.
    9. 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.
    10. Mason Woo & Gregory Connor, 2004. "(IAM Series No 002) An Intro to Hedge Funds," FMG Discussion Papers dp477, Financial Markets Group.
    11. 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.
    12. Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    13. 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.
    14. Rodolfo Apreda, 2014. "Another viewpoint on investment funds. And their opaque governance," CEMA Working Papers: Serie Documentos de Trabajo. 535, Universidad del CEMA.
    15. Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
    16. Fischer, Mario & Hanauer, Matthias X. & Heigermoser, Robert, 2016. "Synthetic hedge funds," Review of Financial Economics, Elsevier, vol. 29(C), pages 12-22.
    17. Jakub W. Jurek & Erik Stafford, 2011. "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers 12-013, Harvard Business School.
    18. 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.
    19. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
    20. 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.
    21. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," FMG Discussion Papers dp591, Financial Markets Group.
    22. 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.
    23. 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.
    24. 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.
    25. 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).
    26. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    27. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    28. 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.
    29. Dichev, Ilia D. & Yu, Gwen, 2011. "Higher risk, lower returns: What hedge fund investors really earn," Journal of Financial Economics, Elsevier, vol. 100(2), pages 248-263, May.
    30. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.
    31. 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.
    32. 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.
    33. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.
    34. Vikas Agarwal & Yan Lu & Sugata Ray, 2016. "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds," Management Science, INFORMS, vol. 62(3), pages 722-740, March.
    35. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    36. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    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. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.

  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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.

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