Reference : The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adju...
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/87828
The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential
English
Cavenaile, Laurent mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > UER Finance et Droit >]
Coen, Alain [Université du Québec à Montréal > > > >]
Hübner, Georges mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
Mar-2011
Journal of Alternative Investments
Euromoney Institutional Investor PLC
13
4
Yes (verified by ORBi)
International
1520-3255
[en] Hedge Fund Performance ; Illiquidity ; Non-Gaussian Returns ; Portfolio Diversification ; Modified Value-at-Risk
[en] This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and a preference-based measure retrieved from the linear-exponential utility function. Second, we revisit the hedge fund diversification effect with these adjustments for illiquidity. Our results report similar fund performance rankings and optimal hedge fund strategy allocations for both adjusted metrics. We also show that the benefits of hedge funds in portfolio diversification are still persistent but tend to weaken after the adjustment for illiquidity.
Researchers ; Professionals
http://hdl.handle.net/2268/87828

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Restricted access
2010-07-22 version 1.docAuthor preprint436.5 kBRequest copy

Bookmark and Share SFX Query

All documents in ORBi are protected by a user license.