Risks and portfolio decisions involving hedge funds

被引:468
作者
Agarwal, V [1 ]
Naik, NY [1 ]
机构
[1] Georgia State Univ, Robinson Coll Business, Atlanta, GA 30303 USA
关键词
D O I
10.1093/rfs/hhg044
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This article characterizes the systematic risk exposures of hedge funds using buy-and-hold and option-based strategies. Our results show that a large number of equity-oriented hedge fund strategies exhibit payoffs resembling a short position in a put option on the market index and therefore bear significant left-tail risk, risk that is ignored by the commonly used mean-variance framework. Using a mean-conditional value-at-risk framework, we demonstrate the extent to which the mean-variance framework underestimates the tail risk. Finally, working with the systematic risk exposures of hedge funds, we show that their recent performance appears significantly better than their long-run performance.
引用
收藏
页码:63 / 98
页数:36
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