Author(s): Daniel Giamouridis, Cass Business School, George Skiadopoulos, Warwick Business School
This paper surveys the literature that deals with the informational content of market option prices for the purposes of quantitative asset management.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 52
Author(s): Daniel Giamouridis, Cass Business School, Sandra Paterlini, Università degli studi di Modena e Reggio Emilia
This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 71
Author(s): Daniel Giamouridis, Cass Business School, Spyros Mesomeris, Deutsche Bank AG (London), Nima Noorizadeh, Citigroup, Inc., Martos Rodrigo Dupleich Ulloa
This article is concerned with the systematic exposures of equity hedge fund managers.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 75
Author(s): Daniel Giamouridis, Cass Business School, Ioannis Vrontos, Athens University of Economics and Business, Spyridon D. Vrontos, Dep. of Statistics and Insurance Science, University of Piraeus
This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 69
Author(s): Daniel Giamouridis, Cass Business School, Ioanna Ntoula, Eurobank EFG, Athens
This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 65
