Stocks, bonds, and hedge funds

Journal of Portfolio Management

Volumn 29, Issue 4, 2003, Pages

  Amin, Gaurav S ^a   Kat, Harry M ^b  

^a Schroder Hedge Funds   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041831078     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319900     Document Type: Article

References (10)

1. Amin, G., and H. Kat. "Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?" Journal of Financial and Quantitative Analysis, June 2003a (downloadable from www.cass.city.ac.uk/airc).
2. _. "Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias over the Period 1994-2001." The Journal of Alternative Investments, Summer 2003b (downloadable from www.cass.city.ac.uk/airc).
3. Brooks, C., and H. Kat. "The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors." The Journal of Alternative Investments, Fall 2002, pp. 26-44.
4. Brown, S., W. Goetzmann, and R. Ibbotson. "Offihore Hedge Funds: Survival and Performance." Journal of Business, 72 (1999), pp. 91-117.
5. Jean, W. "The Extension of Portfolio Analysis to Three and More Parameters." Journal of Financial and Quantitative Analysis, 6 (1971), pp. 505-515.
6. _. "More on Multidimensional Portfolio Analysis." Journal of Financial and Quantitative Analysis, 8 (1973), pp. 475-490.
7. Kat, H., and S. Lu. "An Excursion into the Statistical Properties of Individual Hedge Fund Returns." Working paper, Alternative Investment Research Centre, City University, 2002 (downloadable from www.cass.city.ac.uk/airc).
8. McFall Lamm, R. "Portfolios of Alternative Assets: Why Not 100% Hedge Funds?" The Journal of Alternative Investments, Winter 1999, pp. 87-97.
9. Scott, R., and P. Horvath. "On the Direction of Preference for Moments of Higher Order Than the Variance. "Journal of Finance, 35 (1980), pp. 915-919.
10. Simkowitz, M., and W. Beedles. "Diversification in a Three-Moment World." Journal of Financial and Quantitative Analysis, 13 (1978), pp. 927-941.