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Is mean-variance analysis applicable to hedge funds?

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  • Fung, William
  • Hsieh, David A.

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  • Fung, William & Hsieh, David A., 1999. "Is mean-variance analysis applicable to hedge funds?," Economics Letters, Elsevier, vol. 62(1), pages 53-58, January.
  • Handle: RePEc:eee:ecolet:v:62:y:1999:i:1:p:53-58
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    References listed on IDEAS

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    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 937-969, July.
    2. 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 308-317, 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. 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.
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    Citations

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    Cited by:

    1. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
    2. 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.
    3. 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.
    4. Perez Katarzyna, 2014. "Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 14(2), pages 179-197, December.
    5. 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.
    6. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    7. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    8. 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.
    9. 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.
    10. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
    11. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die „Königsdisziplin“ der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
    12. Capocci, Daniel, 2006. "Neutrality of market neutral funds," Global Finance Journal, Elsevier, vol. 17(2), pages 309-333, December.
    13. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    14. repec:hal:journl:halshs-00336475 is not listed on IDEAS
    15. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

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