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dc.contributor.authorMikkelsen, Andreas
dc.contributor.authorKjærland, Frode
dc.contributor.authorHenriksen, Tom Erik Sønsteng
dc.date.accessioned2020-04-02T21:27:50Z
dc.date.available2020-04-02T21:27:50Z
dc.date.issued2019-10-01
dc.description.abstractThis study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. Interestingly, the findings show, in general, no significant increase in performance when hedge funds are included in a portfolio, compared to a well-diversified portfolio as a benchmark. A certain degree of risk reduction is observed when including hedge funds in the portfolio, but the performance does not improve significantly, on average. This study extends the literature on portfolio performance when including hedge funds in a multi-asset portfolio, using more asset allocation strategies and a comprehensive dataset compared to previous studies.en_US
dc.identifier.citationMikkelsen A, Kjærland F, Henriksen TES. Hedge Funds as a Diversification Vehicle. Journal of Investing. 2019;28(6):55-72en_US
dc.identifier.cristinIDFRIDAID 1693286
dc.identifier.doi10.3905/joi.2019.1.099
dc.identifier.issn1068-0896
dc.identifier.issn2168-8613
dc.identifier.urihttps://hdl.handle.net/10037/17991
dc.language.isoengen_US
dc.publisherPageant Media Ltden_US
dc.relation.journalJournal of Investing
dc.rights.accessRightsopenAccessen_US
dc.rights.holderCopyright 2019 Pageant Media Ltden_US
dc.subjectVDP::Social science: 200::Economics: 210en_US
dc.subjectVDP::Samfunnsvitenskap: 200::Økonomi: 210en_US
dc.titleHedge Funds as a Diversification Vehicleen_US
dc.type.versionacceptedVersionen_US
dc.typeJournal articleen_US
dc.typeTidsskriftartikkelen_US


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