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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 NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit CFA Institute.,
Edisi -
Subjek Investment policy
Risk assessment
Acquisitions & Mergers
Portfolio diversification
studies
ISBN/ISSN 0015198X
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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