The statistical properties of hedge fund index returns and their implications for investors
HM Kat, C Brooks - Cass Business School Research Paper, 2001 - papers.ssrn.com
… A recent study by Amin and Kat (2001a) shows that when the whole return distribution is
taken into account, there is little or no evidence of superior performance in hedge fund index …
taken into account, there is little or no evidence of superior performance in hedge fund index …
Hedge fund performance 1990–2000: Do the “money machines” really add value?
GS Amin, HM Kat - Journal of financial and quantitative analysis, 2003 - cambridge.org
We investigate the claim that hedge funds offer investors a superior risk-return tradeoff. We
do so using a continuous-time version of Dybvig's (1988a), (1988b) payoff distribution pricing …
do so using a continuous-time version of Dybvig's (1988a), (1988b) payoff distribution pricing …
[HTML][HTML] Fund of hedge funds portfolio selection: A multiple-objective approach
RJ Davies, HM Kat, S Lu - Journal of Derivatives & Hedge Funds, 2009 - Springer
… In this paper we follow the approach of Brooks and Kat, 26 outlined in the Appendix, to
unsmooth hedge fund returns and thereby reconcile stale price problems. Table 1 provides a …
unsmooth hedge fund returns and thereby reconcile stale price problems. Table 1 provides a …
Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1, 1) and Egarch (1, 1) Models.
HM Kat, RC Heynen - Journal of Derivatives, 1994 - papers.ssrn.com
Future volatility is a key input for pricing and hedging derivatives and for quantitative
investment strategies in general. There are many different approaches. This article investigates …
investment strategies in general. There are many different approaches. This article investigates …
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen - Alternative Investment Research Centre …, 2006 - papers.ssrn.com
… The database used in this paper is the same as in Kat and Oomen (2006): daily settlement
… For brevity, as in Kat and Oomen (2006), we only present the results for a representative …
… For brevity, as in Kat and Oomen (2006), we only present the results for a representative …
Welcome to the dark side: Hedge fund attrition and survivorship bias over the period 1994-2001
HM Kat, GS Amin - Cass Business School Research Paper, 2001 - papers.ssrn.com
Hedge funds exhibit a high rate of attrition that has increased substantially over time. Using
data over the period 1994-2001, we show that lack of size, lack of performance and an …
data over the period 1994-2001, we show that lack of size, lack of performance and an …
Stocks, bonds, and hedge funds
GS Amin, HM Kat - Journal of Portfolio Management, 2003 - search.proquest.com
What are the diversification effects of introducing hedge funds into a portfolio of stocks and
bonds? In terms of skewness and kurtosis, equity and hedge funds do not combine very well. …
bonds? In terms of skewness and kurtosis, equity and hedge funds do not combine very well. …
Partial barrier options
RC Heynen, HM Kat - The Journal of Financial Engineering, 1994 - papers.ssrn.com
In this paper we study the pricing of barrier options where the period during which the
underlying price is monitored for barrier hits is restricted to only part of the options' lifetime. We …
underlying price is monitored for barrier hits is restricted to only part of the options' lifetime. We …
What every investor should know about commodities Part II: multivariate return analysis
HM Kat, RCA Oomen - Journal of Investment Management, 2007 - papers.ssrn.com
In this paper, we study the multivariate return properties of a large variety of commodity futures.
We find that between commodity groupings (such as metals, energy, etc.) correlations are …
We find that between commodity groupings (such as metals, energy, etc.) correlations are …
Lookback options with discrete and partial monitoring of the underlying price
RC Heynen, HM Kat - Applied Mathematical Finance, 1995 - Taylor & Francis
… Using the same terminology as in Heynen and Kat (1994b), we refer to such options as type
A options. During the lookback period the underlying price is monitored at a number of, not …
A options. During the lookback period the underlying price is monitored at a number of, not …