We investigate the claim that hedge funds offer investors a superior risk-return tradeoff. We
do so using a continuous-time version of Dybvig's (1988a), (1988b) payoff distribution pricing …

Hedge funds exhibit a high rate of attrition that has increased substantially over time. Using
data over the period 1994-2001, we show that lack of size, lack of performance and an …

What are the diversification effects of introducing hedge funds into a portfolio of stocks and
bonds? In terms of skewness and kurtosis, equity and hedge funds do not combine very well. …

In this paper we study the diversification effects from introducing hedge funds into a traditional
portfolio of stocks and bonds. We find that although the inclusion of hedge funds may …

We study the diversification effects from introducing hedge funds into a portfolio of stocks and
bonds. Our results show that in terms of skewness and kurtosis equity and hedge funds do …

We investigate the performance of baskets of hedge funds ranging in size from 1 to 20 funds.
The analysis shows that increasing the number of funds can be expected to lead not only to …

We study the diversification effects from introducing hedge funds into a traditional portfolio
of stocks and bonds. Our results make it clear that in terms of skewness and kurtosis equity …

We present an extension of the traditional Sharpe ratio to allow for the evaluation of non-normal
return distributions. Combining earlier work in this area with stochastic simulation, we …

In this paper we investigate the claim that hedge funds offer investors a superior risk-return
trade-off. We do so using a continuous time version of Dybvig's (1988a, 1988b) payoff …

Using monthly return data over the period June 1994-May 2001 we investigate the performance
of randomly selected baskets of hedge funds ranging in size from 1 to 20 funds. The …