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The Dynamics of Hedge Fund Performance

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifier
dc.contributor.authorGouriéroux, Christian*
hal.structure.identifier
dc.contributor.authorTeiletche, Jérôme*
dc.date.accessioned2015-01-05T09:59:00Z
dc.date.available2015-01-05T09:59:00Z
dc.date.issued2015
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14484
dc.descriptionL'ouvrage fait partie de la collection "Studies in Computational Intelligence", vol. 583en
dc.language.isoenen
dc.subjectStochastic migration modelen
dc.subjectMeasure of performanceen
dc.subjectRating dynamicsen
dc.subjectFund managersen
dc.subjectHedge Fundsen
dc.subjectPerformanceen
dc.subject.ddc332en
dc.subject.classificationjelC.C7.C73en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G2.G23en
dc.subject.classificationjelG.G2.G24en
dc.titleThe Dynamics of Hedge Fund Performanceen
dc.typeChapitre d'ouvrage
dc.contributor.editoruniversityotherCREST and University of Toronto;Canada
dc.contributor.editoruniversityotherUnigestion;Suisse
dc.description.abstractenThe ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjusted measure of performance. We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994–2008.en
dc.identifier.citationpages85-113en
dc.relation.ispartoftitleEconometrics of Risken
dc.relation.ispartofeditorHuynh, Van-Nam
dc.relation.ispartofeditorKreinovich, Vladik
dc.relation.ispartofeditorSriboonchitta, Songsak
dc.relation.ispartofeditorSuriya, Komsan
dc.relation.ispartofpublnameSpringeren
dc.relation.ispartofpublcityHeidelbergen
dc.relation.ispartofdate2015
dc.relation.ispartofpages498en
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-3-319-13449-9en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-319-13448-2en
dc.relation.forthcomingnonen
dc.identifier.doi10.1007/978-3-319-13449-9_7en
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632878*
hal.version1*
hal.update.actionupdateMetadata*
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