Adapting pricing models to the non-linearity of hedge fund returns

Academic Paper

In opposing static models, some authors consider the following issue to be important: static asset pricing models imply that risk and performance are constant over time. Due to investment decisions based on public information and dynamic trading strategies, in the case of hedge funds, static models present the risk of being mis-specified. If the risk profile is modified over the calculation period, it can have a strong impact on abnormal performance. This assumption goes against several studies

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: