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2016-03-06 发布于广东
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flow-induced redemption costs in strongfundsstrong of strongfundsstrong.pdf

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flow-induced redemption costs in strongfundsstrong of strongfundsstrong

Flow-Induced Redemption Costs in Funds of Funds Michael Stein, Svetlozar T. Rachev • Michael Stein, Email: michael.stein@statistik.uni-karlsruhe.de Michael Stein is Doctoral Candidate at the Department of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT), Germany. His dissertation topic is “Statistical Methods of Strategic Portfolio Management for Fund of Funds (FoFs)”. In addition, he is FoF manager for the Real Estate Strategy and Portfolio Solutions Group at Credit Suisse Asset Management Immobilien KAG in Frankfurt, Germany. At Credit Suisse, he is responsible for the quantitative aspects of FoF portfolio management, real estate derivatives as well as for direct and indirect real estate investment strategies. • Svetlozar T. Rachev, Email: rachev@kit.edu Prof. Svetlozar T. Rachev (Corresponding Author): Chair of Econometrics, Statistics and Mathematical Finance, Karlsruhe Institute of Technology (KIT), Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe,Germany Chief-Scientist, FinAnalytica Inc. Department of Statistics and Applied Probability, University of California, Santa Barbara , USA. Svetlozar T. Rachev is Professor of Econometrics, Statistics and Mathematical Finance, Karlsruhe Institute of Technology (KIT), Germany. He is author or co-author of over 300 articles and 13 books (plus 2 forthcoming) concerning Statistics, Probability Theory, Risk and Portfolio Management and Financial Econometrics. He serves as a member of 7 editorial boards of academic journals and is Fellow of the Institute of Mathematical Statistics, El