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Finance and Financial Management Commons™
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Full-Text Articles in Finance and Financial Management
Investing In Hedge Funds: Risks, Returns And Performance Measurement, Francis Koh, Winston T. H. Koh, David K. C. Lee, Kok Fai Phoon
Investing In Hedge Funds: Risks, Returns And Performance Measurement, Francis Koh, Winston T. H. Koh, David K. C. Lee, Kok Fai Phoon
Research Collection Lee Kong Chian School Of Business
Hedge funds are collective investment vehicles that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. We review various issues relating to the investment in hedge funds, which have become popular with high net-worth individuals and institutional investors, as well as discuss their empirical risk and return profiles. The concerns regarding the empirical measurements are highlighted, and meaningful analytical methods are proposed to provide greater risk transparency in performance reporting. We also discuss the development of the hedge fund …
Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm
Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm
Journal of Actuarial Practice (1993-2006)
This paper presents a new method of obtaining quick and accurate values and deltas for discrete look back options using Taylor series expansions. This method is applied to the case of ratchet guaranteed minimum death benefits attached to annuity contracts, and the method is extended to include annuities where a fixed fund is attached to the variable account. Finally, both the speed and the accuracy of the method are compared to Monte Carlo simulation and the exact analytic solution. The Taylor expansion method is shown to be faster and, in most cases, more accurate than the alternative methods.
The Effects Of Asset Allocation And Active Management On Total Return Of Managed Funds, Florian Halili
The Effects Of Asset Allocation And Active Management On Total Return Of Managed Funds, Florian Halili
Business and Economics Honors Papers
Portfolio managers are charged with maximizing returns for a given level of risk. There are practical problems that arise in creating an efficient portfolio and maintaining a target level of risk and return. This paper will identify two important factors that a manager needs to address in creating and managing a portfolio. The first step in creating a portfolio should be the establishment of the structure of the portfolio or the portfolio policy, what asset classes it holds and in what proportions. The structure of the portfolio is the main factor that shows how a portfolio is exposed to risk. …