Risks and Portfolio Decisions Involving Hedge Funds

By Vikas Agarwal, Narayan Naik. 2004

1,256 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f3c55b57b4b49d330da9cd3c6ef8c99974f322c8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Melvyn Teo
2. Martin Eling
3. Andrew J. Patton
4. Narayan Naik
5. William Fung
6. David A. Hsieh
7. R. Faust
8. Bing Liang

In Finance

1. Melvyn Teo
2. Martin Eling
3. Narayan Naik
4. Tarun Ramadorai
5. Andrew J. Patton
6. William Fung
7. David A. Hsieh
8. Yong Chen

Citations in the corpus

• Efficient Fund of Hedge Funds Construction Under Downside Risk Measures (2006, neutral): “…properties of hedgefund indices argue that standard methods used for portfolio construction (e.g., mean–variance analysis) can be inadequate for hedge funds, e.g., Agarwal and Naik (2001), Brooks and Kat (2002), Fung and Hsieh (1997), Fung and Hsieh (2001), Martin (2001) and Popova et al. (2003).”
• Does the Measure Matter in the Mutual Fund Industry? (2008, background): “( ) /ai fi iSharpe ratio r r= − σ ( ) ( )1 1/ai i iOmega r LPM= − τ τ + ( ) ( )2 2 ai i iSortino ratio r LPM= − τ τ ( ) ( )21 2i i iUpside potential ratio HPM LPM= τ τ ( ) ( )3 3/ai i iKappa 3 r LPM= − τ τ ( ) 1/ai i f iCalmar ratio r r D= − − ( ) 1= (1 / )/a Ki f k ikSterling ratio r r K Di =− − ( ”
• Stochastic dominance analysis of Asian hedge funds (2008, background): “Agarwal and Naik (2004) proposed a general asset class factor model comprising of option-based and buy-and-hold strategies to benchmark hedge fund performance.”
• The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, neutral): “See for example, Ackermann, McEnally, and Ravenscraft (1999); Agarwal and Naik (2000 and 2004); Brown and Goetzmann (2003); Brown, Goetzmann, and Ibbotson (1999); Brown, Goetzmann, Liang, and Schwarz (2008); Fung and Hsieh (1997, 2000, 2001, 2002); Goetzmann, Ingersoll, and Ross (2003); Griffin and ”
• Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, neutral): “Situations where AVaR behaves better than traditional risk measures are for example discussed in Alexander and Baptista (2004), Agarwal and Naik (2004), Merino and Nyfeler (2004).”
• The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds (2011, methodology): “We model this type of return behavior as out-of-the money options as in Agarwal and Naik (2004) .”
• The performance of hedge funds and mutual funds in emerging markets (2010, methodology): “Hedge-fund-style specific performance measurement models are needed so as to capture the differences in management style (Fung and Hsieh, 2001, 2004; Agarwal and Naik, 2004).”
• Do the Best Hedge Funds Hedge (2011, neutral): “7 We also follow Agarwal and Naik (2004) and include portfolios of in- and out of the money calls and puts on the S&P 500 Index.”
• Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio (2003, methodology): “as developed by Rockafellar and Uryasev [2001] using a conditional VaR for general loss distributions, while Agarwal and Naik [2003] construct a mean conditional VaR demonstrating that mean-variance analysis also underestimates tail risk. As well, Favre and Galeano [2002] develop a technique to prop”
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, neutral): “…McEnally, and Ravenscraft (1999), Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (2000), Dor and Jagannathan (2002), Brown and Goetzmann (2003), Getmansky, Lo, and Makarov (2004), Agarwal and Naik (2004), Malkiel and Saha (2004), and Chan, Getmansky, Haas, and Lo (2005).”
• The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, neutral): “Performance attribution and style analysis in hedge funds have been studied in the following papers: Agarwal and Naik (2000b, 2000c), Brown and Goetzmann (2003), Brown, Goetzmann and Ibbotson (1999), Brown, Goetzmann, and Park (2000, 2001a, 2001b), Fung 5 and Hsieh (1997), and Lochoff (2002).”
• Hedge Funds as Investors of Last Resort (2009, background): “2 Other papers discussing the behavior and performance of hedge funds include Fung and Hsieh (1997, 1999, 2000a, 2000b, 2001); Ackermann, McEnally, and Ravenscraft (1999); Brown, Goetzmann, and Ibbotson (1999); Brown, Goetzmann, and Park (2000, 2001); Liang (2000); Brown and Goetzmann (2003); Brunne”