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Risk management for event-driven funds
Many portfolio strategies are "event driven" (i.e., designed to benefit from price movements caused by corporate events, such as a merger). These strategies involve payoffs with discontinuous and skewed distributions that conventional risk methods do not measure well. This article develops methods to measure the forward-looking risk, based on current positions, of portfolios exposed to such discrete events. The method is applied to independent events and to the more realistic case of events that are not independent. For mergers and acquisitions, empirical estimates of deal-break correlations are positive but low, which implies that most of this event risk is idiosyncratic and diversifiable. The methodology allows assessment of the risk and return of various portfolio structures for event-driven funds. .Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : CFA Institute |
|---|---|
| Edisi | - |
| Subjek | Investment policy Risk assessment Acquisitions & Mergers Portfolio diversification studies |
| ISBN/ISSN | 0015198X |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |