The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Abstract:  Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the consequences of shortfall-based risk measures in the context of portfolio optimization. In contrast to popular belief, we show that negative skewness for optimal mean-shortfall portfolios can be much greater than for mean-variance portfolios. Using empirical hedge fund return data we show that the optimal mean-shortfall portfolio substantially reduces the probability of small shortfalls at the expense of an increased extreme crash probability. We explain this by proving analytically under what conditions short-put payoffs are optimal for a mean-shortfall investor. Finally, we show that quadratic shortfall or semivariance is less prone to these problems. This suggests that the precise choice of the downside risk measure is highly relevant for optimal portfolio construction under loss averse preferences.     

从金融危机看宏观型对冲基金的本质

国际资本自由流动是宏观型对冲基金的温床。尽管国际上受美金融危机发生的具体原因千差万别,但共同的特点是有意、无意地扩大宏观经济基本面的失衡,然后借助金融市场的瞬间强制调整,获取巨额利润。宏观型对冲基金作为盈利组织无可厚非,关键是要避免宏观经济的严重失衡。     

基于汇率风险特征的对外物流企业汇率风险防范对策研究

从阐述汇率风险的特征出发，系统研究对外物流企业汇率风险防范的各种决策，并根据我国现有的外汇管理法律法规和金融市场的发育程度分析各种汇率风险决策的可操作性和约束条件。     

基于期货套期保值策略的电价风险防范研究

作为一种有效的风险管理工具和交易手段,电力期贷的引入不仅给电力市场参与者提供了在发电量或负荷变化时获利的机会,同时规避了由于实时市场电价的波动给双方带来的风险。合约双方可以利用电力期贷合约进行套期保值,更好地防范和控制风险。本文研究了使风险最小化的最佳套期保值率,并进行了分析说明。最后结合中国的具体情况探讨了电力期贷今后在国内的发展。     

香港对冲基金监管法律制度研究

对冲基金是一种特殊的投资工具,其组织形式一般是有限合伙企业或者离岸投资公司,通过风险投资来获得较高的回报,例如进行卖空或者衍生品交易等。作为世界重要的对冲基金离岸中心,香港具备严格而又灵活、适时的监管制度,与中国内陆邻近,世界级的金融服务基础环境,可靠的普通法法律体系以及灵活的税收制度等方面的优势。香港对冲基金监管法律制度主要体现在三个方面的监管,即监管对冲基金、监管基金管理人和监管两者的行为。为吸引更多的基金落户香港,当局也在不断地进行法律更新。香港的经验和做法值得我国内陆参考。     

关于养老保险基金保值增值的探讨

养老保险基金的管理存在诸多问题,如基金被挤占挪用、管理手段软化等,因此,必须采取科学办法加强管理。在做好市场调查和可行性研究的基础上,适当拓宽基金投资运营渠道、实施政企分开、加强立法和社会监督体系,以确保养老保险基金的保值增值     

Is Gold a Hedge or a Safe Haven? An Analysis of Stocks,Bonds and Gold

Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average, or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a market crash? We study constant and time‐varying relations between U.S., U.K. and German stock and bond returns and gold returns to investigate gold as a hedge and a safe haven. We find that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions. A portfolio analysis further shows that the safe haven property is short‐lived.