Is mean-variance analysis applicable to hedge funds?

DOI10.1016/S0165-1765(98)00140-2zbMath0915.90015OpenAlexW2013401378MaRDI QIDQ1277714

David A. Hsieh, William Fung

Publication date: 2 March 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00140-2

zbMATH Keywords

mean-variance analysishedge fundsrisk versionTaylor-series approximation

Mathematics Subject Classification ID

Related Items (2)

Portfolio optimization when asset returns have the Gaussian mixture distribution ⋮ “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007

Cites Work

• GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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