Risks and Portfolio Decisions Involving Hedge Funds
用买入持有和期权策略刻画对冲基金的系统性风险暴露，发现许多股票型对冲基金类似卖出市场指数看跌期权，存在被均值方差框架忽略的左尾风险，并基于条件风险价值框架揭示其低估程度。
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. Copyright 2004, Oxford University Press.