Risks and Portfolio Decisions Involving Hedge Funds
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ID: 294950
2003
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Abstract
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.
| Reference Key |
openalex_W2098996963
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|---|---|
| Authors | Vikas Agarwal, Narayan Y. Naik |
| Journal | review of financial studies |
| Year | 2003 |
| DOI |
10.1093/rfs/hhg044
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| URL | |
| Keywords | Keywords not found |
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