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Hedge Fund Diversification
16 references·10 citing·29 second hop
Hedge Fund Diversification (2002)Hedge Fund DiversificationHedge Funds: Myths and Limits (2002)Hedge Funds: Myths and LimitsThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…How Many Stocks Make a Diversified Portfolio? (1987)How Many Stocks Make a Divers…Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Risk Reduction and Portfolio Size: An Analytical Solution (1977)Risk Reduction and Portfolio …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Effect of Diversification on Risk (1971)The Effect of Diversification…Some Studies of Variability of Returns on Investments in Common Stocks (1970)Some Studies of Variability o…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…General Proof that Diversification Pays (1967)General Proof that Diversific…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionHedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Home Bias and Local Contagion: Evidence from Funds of Hedge Funds (2013)Home Bias and Local Contagion…Strategic Asset Allocation and the Role of Alternative Investments (2012)Strategic Asset Allocation an…The Risk of Funds of Hedge Funds: An Empirical Analysis of the Maximum Drawdown (2009)The Risk of Funds of Hedge Fu…Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter? (2009)Measuring Funds of Hedge Fund…Do Funds-of-Funds Deserve Their Fees-on-Fees? (2008)Do Funds-of-Funds Deserve The…Crises and Hedge Fund Risk (2008)Crises and Hedge Fund RiskDiversification Benefits of Funds of Hedge Funds (2007)Diversification Benefits of F…A Portfolio Diversification Index (2006)A Portfolio Diversification I…On the Role of Hedge Funds in Institutional Portfolios (2004)On the Role of Hedge Funds in…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Safety First and the Holding of Assets (1952)Modern Portfolio Theory and Investment Analysis. (1982)Beyond Greed and Fear (2002)Socially Responsible Indexes (2006)Information demand and stock market volatility (2012)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Determinants of bid-asked spreads in the over-the-counter market (1974)Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Diversification in a Three-Moment World (1978)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)The Cross-Section of Expected Stock Returns (1992)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1952Portfolio Selection4,609 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1987How Many Stocks Make a Diversified Portfolio?609 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*588 cited
  • 1967General Proof that Diversification Pays377 cited
  • 1977Risk Reduction and Portfolio Size: An Analytical Solution278 cited
  • 1970Some Studies of Variability of Returns on Investments in Common Stocks188 cited
  • 1982Skewness Preference and Portfolio Choice177 cited
  • 1971The Effect of Diversification on Risk116 cited
  • 2002

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Hedge Funds: Myths and Limits
105 cited

Cited by

  • 2006A Portfolio Diversification Index69 cited
  • 2008Crises and Hedge Fund Risk67 cited
  • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
  • 2008Do Funds-of-Funds Deserve Their Fees-on-Fees?45 cited
  • 2012Strategic Asset Allocation and the Role of Alternative Investments45 cited
  • 2013Home Bias and Local Contagion: Evidence from Funds of Hedge Funds32 cited
  • 2009Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?25 cited
  • 2004On the Role of Hedge Funds in Institutional Portfolios24 cited
  • 2007Diversification Benefits of Funds of Hedge Funds22 cited
  • 2009The Risk of Funds of Hedge Funds: An Empirical Analysis of the Maximum Drawdown21 cited