Advanced Search
MyIDEAS: Login

Is mean-variance analysis applicable to hedge funds?

Contents:

Author Info

  • Fung, William
  • Hsieh, David A.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V84-3VM0N9V-8/2/428997fab54988c1733e18f16efd4c25
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 62 (1999)
    Issue (Month): 1 (January)
    Pages: 53-58

    as in new window
    Handle: RePEc:eee:ecolet:v:62:y:1999:i:1:p:53-58

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
    2. Bansal, Ravi & Lehmann, Bruce N., 1997. "Growth-Optimal Portfolio Restrictions On Asset Pricing Models," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 333-354, June.
    3. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    4. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
    2. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
    3. Wolfgang Bessler & Wolfgang Drobetz & Jacqueline Henn-Overbeck, 2005. "Hedge Funds: Die „Königsdisziplin“ der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    4. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
    5. repec:hal:journl:halshs-00336475 is not listed on IDEAS
    6. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
    7. Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400, HAL.
    8. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
    9. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
    10. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:62:y:1999:i:1:p:53-58. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.