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- Composition Funds of Hedge Funds: A Mean-CVAR Allocation With an Option-Based Constraint
- This paper discusses on the way to do an allocation decision in a fund of hedge funds is a new field of investigation. The allocation process is a succession of two important decisions. It must be discriminated between various hedge funds strategies and between the hedge funds themselves. The problem...
- White papers 2003-11-07
- Forecasting Spreads on Emerging-Markets Debt Using Credit Default Swaps - A Kalman Filter Approach
- The present paper has two objectives. First, to look at the issue of forecasting emerging market bond spreads and to cast some light on the possible explanatory factors of the bond spreads. In particular, the paper attempts to evaluate the relative contribution of the Kalman filter technique as a forecasting...
- White papers 2002-11-01
- Capital Structure Arbitrage Strategies: Models, Practice and Empirical Evidence
- Capital structure arbitrage strategies currently are the fastest growing sector in the hedge fund market and in proprietary trading departments in large banks. The objective of the thesis is the theoretical and practical background of capital structure arbitrage and hedging strategies, and the empirical evidence of key relationships applying these...
- White papers 2003-11-01
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