Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns

DOI10.1142/9789811202391_0091zbMATH Open1454.91307OpenAlexW3080970809MaRDI QIDQ5139521

Mazin A. M. Al Janabi, Zachary A. Smith, Muhammad Z. Mumtaz

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0091

zbMATH Keywords

distributed lag models extreme bound analysis hedge funds performance performance manipulation stale pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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