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Economics Letters
Volumn 62, Issue 1, 1999, Pages 53-58
Is mean-variance analysis applicable to hedge funds?
Author keywords

D81; G11; Hedge funds; Mean variance analysis; Risk version; Taylor series approximation
Indexed keywords

EID: 0033483063     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(98)00140-2     Document Type: Article
Times cited : (45)
References (7)
  • 1
    • 0031352599 scopus 로고    scopus 로고
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    • Bansal R., Lehman B. Growth optimal portfolio restrictions on asset pricing models. Macroeconomic Dynamics. 1:1997;333-354.
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    • Bansal, R.1    Lehman, B.2
  • 2
    • 0039412272 scopus 로고
    • Introduction: The Model for superior performance
    • In: Lederman, J., Klein, R.A. (Ed.), Irwin Professional, New York NY
    • Caldwell, T. 1995. Introduction: The Model for superior performance. In: Lederman, J., Klein, R.A. (Ed.), Hedge Funds. Irwin Professional, New York NY, pp. 1-17.
    • (1995) Hedge Funds , pp. 1-17
    • Caldwell, T.1
  • 3
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: A theoretical framework
    • Epstein L., Zin S. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: A theoretical framework. Econometrica. 57:1989;937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.1    Zin, S.2
  • 4
    • 84935429666 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: An empirical analysis
    • Epstein L., Zin S. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: An empirical analysis. Journal of Political Economy. 99:1991;263-286.
    • (1991) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 5
    • 0031519866 scopus 로고    scopus 로고
    • Empirical characteristics of dynamic trading strategies: The case of hedge funds
    • Fung W., Hsieh D.A. Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies. 10(2):1997;275-302.
    • (1997) Review of Financial Studies , vol.10 , Issue.2 , pp. 275-302
    • Fung, W.1    Hsieh, D.A.2
  • 6
    • 0008904604 scopus 로고
    • The empirical nature of Taylor-series approximations to expected utility
    • Hlawitschka W. The empirical nature of Taylor-series approximations to expected utility. American Economic Review. 84:1994;713-719.
    • (1994) American Economic Review , vol.84 , pp. 713-719
    • Hlawitschka, W.1
  • 7
    • 84982408067 scopus 로고
    • Approximating expected utility by a function of mean and variance
    • Levy H., Markowitz H.M. Approximating expected utility by a function of mean and variance. American Economic Review. 69:1979;308-317.
    • (1979) American Economic Review , vol.69 , pp. 308-317
    • Levy, H.1    Markowitz, H.M.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.