Simulating convertible bond arbitrage portfolios

References

• Agarwal , V and Naik , NY . 2004 . Risks and portfolio decisions involving hedge funds . Review of Financial Studies , 17 : 63 – 98 .
   Web of Science ®Google Scholar
• Barkley , T . May 8 2001 . Hedge funds drive convertible-bond demand as Starwood launches it's $500 million issue May 8 , C5 – C5 . Wall Street Journal
   Google Scholar
• BIS . March 2004 . BIS Quarterly Review , March , Basel, , Switzerland : Bank of International Settlement Publication .
   Google Scholar
• Bollerslev , T . 1986 . Generalised autoregressive heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
   Web of Science ®Google Scholar
• Calamos , N . 2003 . Convertible arbitrage: Insights and Techniques for Successful Hedging , New Jersey : John Wiley and Sons .
   Google Scholar
• Capocci , D and Hübner , G . 2004 . Analysis of hedge fund performance . Journal of Empirical Finance , 11 : 55 – 89 .
   Google Scholar
• Chen , N-F , Roll , R and Ross , S . 1986 . Economic forces and the stock market . Journal of Business , 59 : 383 – 403 .
   Web of Science ®Google Scholar
• Tremont , CSFB . 2002 . CSFB/Tremont hedge fund index: index construction rules Available at www.hedgeindex.com (accessed 30 June 2007)
   Google Scholar
• Dimson , E . 1979 . Risk measurement when shares are subject to infrequent trading . Journal of Financial Economics , 7 : 197 – 226 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 65 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
   Web of Science ®Google Scholar
• Fung , W and Hsieh , DA . 1997 . Empirical characteristics of dynamic trading strategies: the case of hedge funds . Review of Financial Studies , 10 : 275 – 302 .
   Web of Science ®Google Scholar
• Fung , W and Hsieh , DA . 2000a . Measuring the market impact of hedge funds . Journal of Empirical Finance , 7 : 1 – 36 .
   Google Scholar
• Fung , W and Hsieh , DA . 2000b . Performance characteristics of hedge funds: natural vs. spurious biases . Journal of Financial and Quantitative Analysis , 35 : 291 – 307 .
   Web of Science ®Google Scholar
• Fung , W and Hsieh , DA . 2001 . The risk in hedge fund trading strategies: theory and evidence from trend followers . Review of Financial Studies , 14 : 313 – 41 .
   Web of Science ®Google Scholar
• Getmansky , M , Lo , AW and Makarov , I . 2004 . An econometric model of serial correlation and illiquidity in hedge fund returns . Journal of Financial Economics , 74 : 529 – 609 .
   Web of Science ®Google Scholar
• Ineichen , A . 2000 . In Search of Alpha , United Kingdom : UBS Warburg Research Publication .
   Google Scholar
• Jensen , M . 1968 . The performance of mutual funds in the period 1945–1964 . Journal of Finance , 23 : 389 – 416 .
   Web of Science ®Google Scholar
• Kat , HM and Lu , S . 2002 . An excursion into the statistical properties of hedge funds , Working Paper 16 CASS Business School .
   Google Scholar
• Kazemi , H and Schneeweis , T . March 2003 . Conditional performance of hedge funds , CISDM Working Paper 5 March , Amherst : Isenberg School of Management, University of Massachusetts .
   Google Scholar
• Khan , SA . 2002 . A perspective on convertible arbitrage . Journal of Wealth Management , 5 : 59 – 65 .
   Google Scholar
• Liang , B . 1999 . On the performance of hedge funds . Financial Analysts Journal , 55 : 72 – 85 .
   Google Scholar
• Liang , B . 2000 . Hedge funds: the living and the dead . Journal of Financial and Quantitative Analysis , 35 : 72 – 85 .
   Web of Science ®Google Scholar
• Lintner , J . 1965 . The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets . Review of Economics and Statistics , 47 : 13 – 37 .
   Web of Science ®Google Scholar
• McGee , S . 2003 . Extra fuel Available at http://www.financial-planning.com/pubs/fp/20031201028.html (accessed 30 June 2007)
   Google Scholar
• Mitchell , M and Pulvino , T . 2001 . Characteristics of risk and return in risk arbitrage . Journal of Finance , 56 : 2135 – 75 .
   Web of Science ®Google Scholar
• Newey , WK and West , KD . 1987 . A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 707 – 08 .
   Web of Science ®Google Scholar
• Poon , S-H and Granger , C . 2003 . Forecasting volatility in financial markets: a review . Journal of Economic Literature , 41 : 478 – 539 .
   Web of Science ®Google Scholar
• Schneeweis , T and Spurgin , R . 1998 . Multifactor analysis of hedge funds, managed futures and mutual fund return and risk characteristics . Journal of Alternative Investments , 1 : 1 – 24 .
   Google Scholar
• Scholes , M and Williams , JT . 1977 . Estimating betas from nonsynchronous data . Journal of Financial Economics , 5 : 309 – 27 .
   Web of Science ®Google Scholar
• Sharpe , WF . 1964 . Capital asset prices: a theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .
   Web of Science ®Google Scholar
• Sharpe , WF . 1966 . Mutual fund performance . Journal of Business , 39 : 119 – 38 .
   Web of Science ®Google Scholar
• Sharpe , WF . 1992 . Asset allocation: management style and performance measurement . Journal of Portfolio Management , 18 : 7 – 19 .
   Web of Science ®Google Scholar