Title: Portfolio construction : hedge fund ALM
Authors : Stoz, Jann
Meier, Peter
Published in : Investment & pension Europe
Publisher / Ed. Institution : IPE
Issue Date: 1-Aug-2011
License (according to publishing contract) : Licence according to publishing contract
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
Departement: School of Management and Law
Organisational Unit: Institute of Wealth & Asset Management (IWA)
Publication type: Contribution to magazine or newspaper
ISSN: 1369-3727
URI: https://digitalcollection.zhaw.ch/handle/11475/9979
Appears in Collections:Publikationen School of Management and Law

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