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Is mean-variance analysis applicable to hedge funds? · Study

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ArticleIs mean-variance analysis applicable to hedge funds?

William K. H. Fung1999

Article1999

Is mean-variance analysis applicable to hedge funds?

William K. H. Fung · David Arthur Hsieh

111 citations·0/0 files stored·Economics Letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds 1979Approximating Expected Utility by a Function of Mean and Variance 1994The empirical nature of Taylor-Series approximations to expected utility 1997GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS

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2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach 2002Portfolio Optimization and Hedge Fund Style Allocation Decisions 2006Portfolio optimization when asset returns have the Gaussian mixture distribution 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy 2012Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets 2004Risk-Adjusted Return When Returns Are Not Normally Distributed 2003

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Year1999

Typearticle

Published1999-01-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations111

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0165-1765(98)00140-2

openalex_workW2013401378

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