Is mean-variance analysis applicable to hedge funds?

Published

Journal Article

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, H., Markowitz, H.M., 1979. Approximating expected utility by a function of mean and variance. American Economic Review 69, 308-317] and [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.

Full Text

Duke Authors

Cited Authors

  • Fung, W; Hsieh, DA

Published Date

  • January 1, 1999

Published In

Volume / Issue

  • 62 / 1

Start / End Page

  • 53 - 58

International Standard Serial Number (ISSN)

  • 0165-1765

Digital Object Identifier (DOI)

  • 10.1016/s0165-1765(98)00140-2

Citation Source

  • Scopus