Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics

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• 作者：Izidin El Kalak^a ; ^{i.el-kalak@kent.ac.uk} ; Alcino Azevedo^b ; ^{a.azevedo@aston.ac.uk} ; Robert Hudson ; Ph.D.^c ; ^{Robert.hudson@hull.ac.uk}
• 关键词：G20 ; G23
• 刊名：International Review of Financial Analysis
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：48
• 期：Complete
• 页码：55-66
• 全文大小：349 K
• 卷排序：48

文摘

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.