Is mean-variance analysis applicable to hedge funds?

被引：16
|
作者：
Fung, W
Hsieh, DA
机构：
[1] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA
[2] Paradigm Financial Prod, Durham, NC USA
来源：
ECONOMICS LETTERS | 1999年 / 62卷 / 01期
关键词：
hedge funds; mean-variance analysis; Taylor-series approximation; risk version;
D O I：
10.1016/S0165-1765(98)00140-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper shows that the mean-variance analysis of hedge funds approximately preserves the ranking of preferences in standard utility functions. This extends the results of Levy and Markowitz (1979) [Levy, H., Markowitz, H.M., 1979. Approximating expected utility by a function of mean and variance. American Economic Review 69, 308-317] and Hlawitschka (1994) [Hlawitschka, W., 1994. The empirical nature of Taylor-series approximations to expected utility. American Economic Review 84, 713-719] for individual stocks and portfolios of stocks. (C) 1999 Elsevier Science S.A. All rights reserved.
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页码：53 / 58
页数：6
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