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dc.contributor.authorDarolles, Serge
dc.contributor.authorGouriéroux, Christian
dc.date.accessioned2014-01-07T15:04:20Z
dc.date.available2014-01-07T15:04:20Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12355
dc.language.isoenen
dc.subjectHedge Funden
dc.subjectSharpe Performanceen
dc.subjectPersistence of Returnsen
dc.subjectBias Ratioen
dc.subjectManager Incentiveen
dc.subjectRisk Appetiteen
dc.subjectHigh Water Marken
dc.subjectManagement Account Biasen
dc.subjectProvision Account Biasen
dc.subject.ddc332en
dc.subject.classificationjelC53en
dc.subject.classificationjelG11en
dc.subject.classificationjelG24en
dc.subject.classificationjelG23en
dc.titleThe Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Schemeen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversity of Toronto;Canada
dc.description.abstractenIn addition to active portfolio management, hedge funds are characterized by the allocation of portfolio performance between the external investors and the management firm accounts. This allocation can take different forms, such as the Loss Carry Forward scheme, and some of them can be coupled with performance smoothing techniques. This paper shows that this additional smoothing component might explain some empirical facts observed on the distribution and the dynamics of hedge fund returns.en
dc.identifier.citationpages47-62en
dc.relation.ispartofseriestitleAdvances in Intelligent Systems and Computingen
dc.relation.ispartofseriesnumber251en
dc.relation.ispartoftitleModeling Dependence in Econometrics Selected Papers of the Seventh International Conference of the Thailand Econometric Society, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014en
dc.relation.ispartofeditorHuynh, Van-Nam
dc.relation.ispartofeditorKreinovich, Vladik
dc.relation.ispartofeditorSriboonchitta, Songsak
dc.relation.ispartofpublnameSpringeren
dc.relation.ispartofpublcityBerlinen
dc.relation.ispartofdate2014
dc.relation.ispartofpages575 p.en
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-3-319-03395-2en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-319-03394-5en
dc.relation.conftitleSeventh International Conference of the Thailand Econometric Societyen
dc.relation.confdate2014-01
dc.relation.confcityChiang Maien
dc.relation.confcountryThaïlandeen
dc.relation.forthcomingnonen
dc.identifier.doihttp://dx.doi.org/10.1007/978-3-319-03395-2_3en


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