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dc.contributor.authorKharoubi, Cécile
dc.contributor.authorGeman, Hélyette
dc.date.accessioned2009-07-27T11:49:45Z
dc.date.available2009-07-27T11:49:45Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1385
dc.language.isoenen
dc.subjectFonds spéculatifsen
dc.subjectHedge fundsen
dc.subjectRisken
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleHedge Funds Revisited : Distributional Characteristics, Dependence Structure and Diversificationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenDuring the last decade, hedge funds have become an increasingly attractive class of assets, viewed as investments offering greater returns while risk is reduced through extensive diversification. Hedge funds have indeed grown exponentially in size, number and management style. The goal of this article is to revisit the following three issues: (i) Is the normality assumption appropriate for hedge funds returns? (ii) Do hedge funds indeed provide superior investments? (iii) Do hedge funds still exhibit the diversification property emphasized in most of the existing literature when a better representation of their dependence structure is introduced? Our answer to the first two questions is rather negative. Regarding the third one, our analysis based on copula functions provides mitigated results and leads us to conclude that a distinction ought to be made between general hedge funds and specific categories as “Global-Macro” or “Market neutral” in terms of the diversification benefits they bring to standard asset classes such as stocks and bonds.en
dc.relation.isversionofjnlnameThe Journal of Risk
dc.relation.isversionofjnlvol5en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2003
dc.relation.isversionofjnlpages55-73en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherRisk publicationsen
dc.subject.ddclabelEconomie financièreen


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