Hedge Funds

Nhà cung cấp John Wiley & Sons, Inc.
Tác giả GREG N. GREGORIOU, GEORGES HÜBNER, NICOLAS PAPAGEORGIOU, FABRICE ROUAH
document.converter John Wiley & Sons, Inc.
Người dịch John Wiley & Sons, Inc.
NXB 656
Ngôn ngữ English
Năm xuất bản 2005

Giới thiệu về sách

Due to their relatively weak correlation with other asset classes, hedge funds can play an important role in risk reduction and yield enhancement strategies. Recent research, however, has also shown that this diversification service does not come for free. Amin and Kat (2003b), for example, show that although the inclusion of hedge funds in a portfolio may significantly improve that portfolio’s mean-variance characteristics, it can also be expected to lead to significantly lower skewness and higher kurtosis. This means that the case for hedge funds is not as straightforward as is often suggested and includes a definite trade-off between profit and loss potential.