dc.contributor.author | Mikkelsen, Andreas | |
dc.contributor.author | Kjærland, Frode | |
dc.contributor.author | Henriksen, Tom Erik Sønsteng | |
dc.date.accessioned | 2020-01-21T09:27:03Z | |
dc.date.available | 2020-01-21T09:27:03Z | |
dc.date.created | 2019-04-22T09:09:57Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Journal of Investing. 2019, 28 (6), 55-72. | nb_NO |
dc.identifier.issn | 1068-0896 | |
dc.identifier.uri | http://hdl.handle.net/11250/2637166 | |
dc.description.abstract | This 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Institutional Investor Inc. | nb_NO |
dc.title | Hedge Funds as a Diversification Vehicle | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 55-72 | nb_NO |
dc.source.volume | 28 | nb_NO |
dc.source.journal | Journal of Investing | nb_NO |
dc.source.issue | 6 | nb_NO |
dc.identifier.doi | 10.3905/joi.2019.1.099 | |
dc.identifier.cristin | 1693286 | |
dc.description.localcode | © 2019 Pageant Media Ltd. This paper is a postprint of a paper submitted to and accepted for publication in Journal of Investing. DOI10.3905/joi.2019.1.099 | nb_NO |
cristin.unitcode | 194,60,10,0 | |
cristin.unitname | NTNU Handelshøyskolen | |
cristin.ispublished | true | |
cristin.qualitycode | 1 | |