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1、RisksandPortfolioDecisionsinvolvingHedgeFundsVikasAgarwalGeorgiaStateUniversityNarayanY.NaikLondonBusinessSchoolCurrentVersion:July17,2002JELClassification:G10,G19____________________________________________VikasAgarwalisfromGeorgiaStateUniversity,RobinsonCollegeofBusiness,35,BroadSt
2、reet,Suite1221,AtlantaGA30303,USA:e-mail:vagarwal@gsu.eduTel:+1-404-651-2699Fax:+1-404-651-2630.NarayanY.NaikisfromLondonBusinessSchool,SussexPlace,Regent'sPark,LondonNW14SA,UnitedKingdom:e-mail:nnaik@london.eduTel:+44-207-262-5050,extension3579Fax:+44-207-724-3317.Wewouldliketothank
3、RaviBansal,RichardBrealey,MichaelBrennan,StephenBrown,IanCooper,ElroyDimson,FauchierPartners,StephenFiglewski,WilliamFung,RajnaGibson,LawrenceGlosten,WilliamGoetzmann,OliverHansch,DavidHsieh,JonIngersoll,DusanIsakov,RaviJagannathan,JayantKale,RobertKosowski,PeteKyle,BingLiang,LionelM
4、artellini,AndrewMetrick,ToddPulvino,RobertRice,StephenSchaefer,AllanTimmermann,andPradeepYadav.WearegratefultotheBSIGammaFoundation,Switzerlandforfinancialsupport.Thisresearchwassupported,inpart,byaresearchgrantfromtheRobinsonCollegeofBusinessofGeorgiaStateUniversity.Theauthorsaretha
5、nkfultoHedgeFundResearchInc.,ChicagoandTASSInvestmentResearchLtd.Londonforprovidingthedataonindividualhedgefundsandhedgefundindexes.WearethankfultoPurnenduNathandSubhraTripathyforexcellentresearchassistance.Weareresponsibleforallerrors.RisksandPortfolioDecisionsinvolvingHedgeFundsAbs
6、tractHedgefundsareknowntoexhibitnon-linearoption-likeexposurestostandardassetclassesandthereforethetraditionallinearfactormodelprovideslimitedhelpincapturingtheirrisk-returntradeoffs.Weaddressthisproblembyaugmentingthetraditionalmodelwithoption-basedriskfactors.Ourresultsshowthatalar
7、genumberofequity-orientedhedgefundstrategiesexhibitpayoffsresemblingashortpositioninaputoptiononthemarketindex,andthereforebearsignificantleft-tailrisk,riskthatisignoredbythecommonlyusedmean-varianceframework.Usingamean-conditionalValue-at-Riskframework,wedemonstratetheextenttowhicht
8、hemean-varia
