Is mean-variance analysis applicable to hedge funds?
Publication
, Journal Article
Fung, W; Hsieh, DA
Published in: Economics Letters
January 1, 1999
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.
Duke Scholars
Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1999
Volume
62
Issue
1
Start / End Page
53 / 58
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Fung, W., & Hsieh, D. A. (1999). Is mean-variance analysis applicable to hedge funds? Economics Letters, 62(1), 53–58. https://doi.org/10.1016/s0165-1765(98)00140-2
Fung, W., and D. A. Hsieh. “Is mean-variance analysis applicable to hedge funds?” Economics Letters 62, no. 1 (January 1, 1999): 53–58. https://doi.org/10.1016/s0165-1765(98)00140-2.
Fung W, Hsieh DA. Is mean-variance analysis applicable to hedge funds? Economics Letters. 1999 Jan 1;62(1):53–8.
Fung, W., and D. A. Hsieh. “Is mean-variance analysis applicable to hedge funds?” Economics Letters, vol. 62, no. 1, Jan. 1999, pp. 53–58. Scopus, doi:10.1016/s0165-1765(98)00140-2.
Fung W, Hsieh DA. Is mean-variance analysis applicable to hedge funds? Economics Letters. 1999 Jan 1;62(1):53–58.
Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1999
Volume
62
Issue
1
Start / End Page
53 / 58
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics