Option-like features and volatility risk in hedge fund returns
We study the risk-return characteristics in the time series of a broad collection of hedge funds from the TASS database, especially their exposure to aggregate volatility risk and whether their returns resemble a position in index options. Earlier research has suggested a non-linear relation between...
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| Format: | Dissertation |
| Language: | English |
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University of Oulu
2017
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| Online Access: | http://urn.fi/URN:NBN:fi:oulu-201704251570 http://nbn-resolving.de/urn:nbn:fi:oulu-201704251570 |