Hedge Funds: Quantitative Insights

By F. Lhabitant. 2004

137 citations recorded by the source corpus.

Subfields: Strategy and Management

View Paper: https://www.semanticscholar.org/paper/a702fcfcb53f7057f32ac2c4be6a78446b1280ac

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In Strategy and Management

1. Frank Schuhmacher
2. Martin Eling

Citations in the corpus

• Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds (2007, background): “Omega (see Shadwick and Keating, 2002), the Sortino ratio (see Sortino and van der Meer, 1991), and Kappa 3 (see Kaplan and Knowles, 2004) use LPMs of order 1, 2, or 3:5 5 Equation (2) is not identical to the definition originally suggested by Shadwick and Keating (2002) for Omega, but is based on a”
• Does the Measure Matter in the Mutual Fund Industry? (2008, methodology): “2 To avoid this problem, some researchers recommend the use of newer performance measures that illustrate the risk of loss (Pedersen and Rudholm-Alfvin 2003; Lhabitant 2004).”