文章基本信息

标题：Evaluating Investments Using Higher Moments
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作者：Demissew Diro Ejara
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2016
卷号：07
期号：03
页码：320-326
DOI：10.4236/me.2016.73035
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Higher Moments;Investment;Hedge Funds;Financial Econometrics;Portfolio Performance Evaluation;Taylor Series Expansion;CRRA