Dimitrios Stafylas

Aston University - Aston Business School

Aston Triangle

Birmingham, B47ET

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 45,239

SSRN RANKINGS

Top 45,239

in Total Papers Downloads

935

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 18 Jun 2019
University of Bath - School of Management, University of Bath - School of Management, Aston University - Aston Business School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 514 (55,051)

Abstract:

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors

2.

Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures

Number of pages: 32 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 135 (217,582)

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hedge fund performance; implicit factors; statistical factors; linear and non-linear multi-factor models; alpha and beta returns

3.

Hedge Fund Performance Attribution at Strategy Level Under Different Market Conditions

Number of pages: 46 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 122 (235,297)
Citation 1

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hedge funds, performance, statistical factors, multi-factor models, risk exposures, alpha and beta returns

4.

Recent Advances in Hedge Funds' Performance Attribution: Performance Persistence and Fundamental Factors

International Review of Financial Analysis, Forthcoming
Number of pages: 50 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 93 (284,003)

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hedge funds, performance persistence, fundamental factors, risk exposures

5.

Issues in Hedge Fund Index Engineering: A Comparison and Demonstration

Number of pages: 54 Posted: 19 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 71 (333,830)

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hedge funds, indices, indexes, due diligence, classification, construction methodology, performance, benchmarks