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• W2098996963 abstract "This article characterizes the systematic risk exposures of hedge funds using buy-and-hold and option-based strategies. Our results show that a large number of equity-oriented hedge fund strategies exhibit payoffs resembling a short position in a put option on the market index and therefore bear significant left-tail risk, risk that is ignored by the commonly used mean-variance framework. Using a mean-conditional value-at-risk framework, we demonstrate the extent to which the mean-variance framework underestimates the tail risk. Finally, working with the systematic risk exposures of hedge funds, we show that their recent performance appears significantly better than their long-run performance." @default.
• W2098996963 created "2016-06-24" @default.
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• W2098996963 creator A5022300681 @default.
• W2098996963 date "2003-10-15" @default.
• W2098996963 modified "2023-10-02" @default.
• W2098996963 title "Risks and Portfolio Decisions Involving Hedge Funds" @default.
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• W2098996963 doi "https://doi.org/10.1093/rfs/hhg044" @default.
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