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Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...
Persistent link: https://www.econbiz.de/10003979515
In modern portfolio theory, financial portfolios are characterised by a desired property, the 'reward', and something undesirable, the 'risk'. While these properties are commonly identified with mean and variance of returns, respectively, we test alternative specifications like partial and...
Persistent link: https://www.econbiz.de/10003967051