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Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis

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References

2000The Investor Fear Gauge1,097 cited
2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors426 cited
2003Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value?334 cited
2001How to Game Your Sharpe Ratio89 cited

Cited by

2015Hedge Funds: A Dynamic Industry in Transition64 cited
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX60 cited
2007VIX Futures and Options51 cited
2010Consistent modeling of S&P 500 and VIX derivatives51 cited
2008The Relative Merits of Alternative Investments in Passive Portfolios45 cited
2006The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios43 cited
2011VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis39 cited
2007Normative Transparency of Mutual Fund Disclosure and the Case of the Expense Ratio22 cited

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