TY - GEN
T1 - The effects of management and provision accounts on hedge fund returns - Part II
T2 - 7th International Conference of the Thailand Econometric Society, TES 2014
AU - Darolles, Serge
AU - Gourieroux, Christian
PY - 2014/1/1
Y1 - 2014/1/1
N2 - In 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.
AB - In 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.
UR - https://www.scopus.com/pages/publications/84897835299
U2 - 10.1007/978-3-319-03395-2_3
DO - 10.1007/978-3-319-03395-2_3
M3 - Conference contribution
AN - SCOPUS:84897835299
SN - 9783319033945
T3 - Advances in Intelligent Systems and Computing
SP - 47
EP - 61
BT - Modeling Dependence in Econometrics
PB - Springer Verlag
Y2 - 8 January 2014 through 10 January 2014
ER -