Author URLs
Document Type
Article
Publication Date
3-2016
Subject: LCSH
Investment analysis, Hedge funds, Econometrics, Performance--Evaluation, Series, Taylor's
Abstract
This paper compares performance of long-short equity hedge funds with the market index by using mean-variance criteria and criteria including higher moments. Based on the mean-variance criteria, the majority of the long-short equity hedge funds outperform the market index. When higher moments are used to evaluate the performance, a greater proportion of the hedge funds underperform the market index. This implies the importance of including higher moments in portfolio optimization.
DOI
10.4236/me.2016.73035
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Repository Citation
Ejara, D. (2016) Evaluating Investments Using Higher Moments. Modern Economy, 7, 320-326. doi: 10.4236/me.2016.73035.
Publisher Citation
Ejara, D. (2016) Evaluating Investments Using Higher Moments. Modern Economy, 7, 320-326. doi: 10.4236/me.2016.73035.
Comments
This article was originally published in, "Modern Economy," volume 7, issue 3.