Skip Navigation


RFS Advance Access originally published online on October 15, 2003
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
17/1/63    most recent
hhg044v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (54)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Agarwal, V.
Right arrow Articles by Naik, N. Y.
Right arrow Search for Related Content
Related Collections
Right arrow G11 - Portfolio Choice; Investment Decisions
Right arrow G13 - Contingent Pricing; Futures Pricing
Right arrow G23 - Pension Funds; Other Private Financial Institutions
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2004; 17:63-98
© 2004 The Society for Financial Studies

Risks and Portfolio Decisions Involving Hedge Funds

Vikas Agarwal
Georgia State University

Narayan Y. Naik
London Business School

Address correspondence to Vikas Agarwal, Georgia State University, Robinson College of Business, 35 Broad St., Suite 1221, Atlanta GA 30303, or e-mail: vagarwal{at}gsu.edu.

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.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
M. Teo
The Geography of Hedge Funds
Rev. Financ. Stud., September 1, 2009; 22(9): 3531 - 3561.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
A. J. Patton
Are "Market Neutral" Hedge Funds Really Market Neutral?
Rev. Financ. Stud., July 1, 2009; 22(7): 2495 - 2530.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. M. Griffin and J. Xu
How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings
Rev. Financ. Stud., July 1, 2009; 22(7): 2531 - 2570.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
D. J. Brophy, P. P. Ouimet, and C. Sialm
Hedge Funds as Investors of Last Resort?
Rev. Financ. Stud., February 1, 2009; 22(2): 541 - 574.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
F. Chabi-Yo
Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence
Rev. Financ. Stud., January 1, 2008; 21(1): 181 - 231.
[Abstract] [Full Text] [PDF]

Home page
 Review of FinanceHome page
J. Driessen and P. Maenhout
An Empirical Portfolio Perspective on Option Pricing Anomalies
Review of Finance, August 27, 2007; (2007) rfm024v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. M. Vanden
Option Coskewness and Capital Asset Pricing
Rev. Financ. Stud., December 1, 2006; 19(4): 1279 - 1320.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Duarte, F. A. Longstaff, and F. Yu
Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?
Rev. Financ. Stud., May 1, 2005; 20(3): 769 - 811.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.