Competing Risks in Hedge Fund Survival

@inproceedings{Rouah2002CompetingRI,
  title={Competing Risks in Hedge Fund Survival},
  author={Fabrice Douglas Rouah},
  year={2002}
}
Institutional investors want long-term investments in hedge funds, but are troubled by premature liquidation. Current survival studies have treated all funds that exit the database as liquidated. We apply a competing risks model to account for the different exit types that hedge funds experience, which avoids blurring the effect of predictor variables. Predictor variables are treated as time dependent variables, which allows their impact to be measured at every instant of life. Separating exit… CONTINUE READING

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