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Tail Risk and Hedge Fund Returns · Study

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PreprintTail Risk and Hedge Fund Returns

Bryan T. Kelly2012

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Preprintgreen2012

Tail Risk and Hedge Fund Returns

Bryan T. Kelly · Hao Jiang

53 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2003Liquidity Risk and Expected Stock Returns 2006Rare Disasters and Asset Markets in the Twentieth Century*2009Expected Stock Returns and Variance Risk Premia 1988The equity risk premium a solution 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

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2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature 2010Rewarding Trading Skills Without Inducing Gambling 2024The Adaptive Markets Hypothesis

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2018Do Hedge Funds Exploit Rare Disaster Concerns?article · 17 shared references 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literaturearticle · 15 shared references 2014Tail Risk in Hedge Funds: A Unique View from Portfolio Holdingspreprint · 14 shared references 2015Hedge Funds: A Dynamic Industry in Transitionreview · 13 shared references 2013Emerging Market Exposures and the Predictability of Hedge Fund Returnsarticle · 13 shared references 2012Systematic risk and the cross section of hedge fund returnsarticle · 12 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations53

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2019482

openalex_workW2123374189

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