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- W1551792209 abstract "This chapter investigates the certainty-equivalent wealth gain from adding funds of hedge funds to portfolios of traditional assets for investors in the G7 countries. This allows one to incorporate the effect of currency exposure and different proxies of equity performance. It was found that for many investors, access to funds of hedge funds is as valuable as access to international equity markets. For investors in most G7 countries, the utility increase from adding funds of hedge funds becomes smaller, although still economically significant, when international equities are already included in the opportunity set. Differences between investors in different countries are documented, which are due to the relative performance of the different equity markets as well as the fact that hedge fund exposure contains currency exposure that vigilant investors should take care in hedging to reduce unnecessary volatility. The results suggest that the impact of currency exposure on optimal allocation and expected utilities substantially differs between investors in different countries. Specifically, the evidence suggests that currency exposure hedging can facilitate considerably higher expected utilities for Japanese and European investors, while the effect for U.S. investors is small." @default.
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- W1551792209 date "2006-01-01" @default.
- W1551792209 modified "2023-09-26" @default.
- W1551792209 title "Gains from adding funds of hedge funds to portfolios of traditional assets" @default.
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- W1551792209 doi "https://doi.org/10.1016/b978-075067984-8.50014-6" @default.
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