Publication type: Contribution to magazine or newspaper
Title: Portfolio construction : hedge fund ALM
Authors: Stoz, Jann
Meier, Peter
Published in: Investment & Pensions Europe
Issue Date: 1-Aug-2011
Publisher / Ed. Institution: IPE
ISSN: 1369-3727
Language: English
Subjects: ZAI; Liquidity measurement; Asset liability management; Hedge fund
Subject (DDC): 332.6: Investment
Abstract: The 2008 crisis showed how liquidity mismatches can undermine apparently robust hedge fund portfolios. Peter Meier and Jann Stoz argue that measuring returns autocorrelation can enable investors to assess mismatches using only fund-of-fund level information.
URI: https://digitalcollection.zhaw.ch/handle/11475/9979
Fulltext version: Published version
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Institute of Wealth & Asset Management (IWA)
Appears in Collections:Publikationen School of Management and Law

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