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Cited by 1,212

The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

Risks and Portfolio Decisions Involving Hedge Funds

Agarwal, Vikas, Naik, Narayan Y.·2004·Review of Financial Studies
DOI 10.1093/rfs/hhg044
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Abstract

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold and option-based strategies. Our results show that a large number of equity-oriented hedge fund strategies exhibit payoffs resembling a short position in a put option on the market index and therefore bear significant left-tail risk, risk that is ignored by the commonly used mean-variance framework. Using a mean-conditional value-at-risk framework, we demonstrate the extent to which the mean-variance framework underestimates the tail risk. Finally, working with the systematic risk exposures of hedge funds, we show that their recent performance appears significantly better than their long-run performance.

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Metadata

Authors
Agarwal, V., & Naik, N. Y.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2003-10-15
Volume
17
Issue
1
Pages
63-98
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhg044
OpenAlex
W2098996963
Cited by
1,212
References
5
FWCI
52.99
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Risks and Portfolio Decisions Involving Hedge Funds. https://app.cochat.ai/papers/10.1093/rfs/hhg044
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Agarwal, V., & Naik, N. Y. (2004). Risks and Portfolio Decisions Involving Hedge Funds. Review of Financial Studies. https://doi.org/10.1093/rfs/hhg044

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.