A Data-Analytic Examination of the Risk in Hedge Funds Returns: The g- and h-Distribution


Mandl, Jochen


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URL: http://ub-madoc.bib.uni-mannheim.de/1594
URN: urn:nbn:de:bsz:180-madoc-15941
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Subject headings (SWD): Hedge Fund , Datenanalyse , Risiko
Abstract: In the recent years the alternative asset class of hedge funds is widely discussed in financial literature. On the one hand this is caused by an increasing demand on these unregulated investements and on the other hand it is caused by a lack of transparency concerning their investment strategies and investment instruments used. Especially this lack of knowledge gives reason to an unreflected adaption of the standard arguments of the attrativeness of a hedge fund investment, for expample like a high expected return is going together with a low to a moderate risk. Therefore this lack of knowledge gives reason to hope for a lasting substantial improvement of the return/risk-profile through the incorporation of such a investment.
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Mandl, Jochen (2007) A Data-Analytic Examination of the Risk in Hedge Funds Returns: The g- and h-Distribution. Open Access [Working paper]
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