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• W2156093555 abstract "Hedge funds that invest in Asia-Pacific markets have grown rapidly in recent years. Asia-Pacific focused hedge funds are poised to play a bigger role in investor portfolios judging by the growing number of investment companies that are based in the Asian region. This article examines the skew and kurtosis of Asia-Pacific hedge fund returns, and tests the hypothesis that they are normally distributed. The results indicate that the distribution of returns are not necessarily Gaussian, but instead exhibit fat tail characteristics. As such, standard deviation itself is insufficient to capture the full risks inherent within these funds. In order to account for fat tail distributions this article uses conditional value-at-risk (CVaR) and conditional drawdown (CDD) to assess the impact of negative tail risks of hedge funds. Further an optimal portfolio of hedge funds is constructed that is subject to constraints on CVaR and CDD. <b>TOPICS:</b>Real assets/alternative investments/private equity, emerging, VAR and use of alternative risk measures of trading risk, portfolio construction" @default.
• W2156093555 created "2016-06-24" @default.
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• W2156093555 date "2007-12-31" @default.
• W2156093555 modified "2023-10-02" @default.
• W2156093555 title "Selection and Performance Analysis of Asia-Pacific Hedge Funds" @default.
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• W2156093555 doi "https://doi.org/10.3905/jai.2007.700229" @default.
• W2156093555 hasPublicationYear "2007" @default.
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