Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2022-05-31 DOI:10.1142/s2010139222500070
Massimo Guidolin, Alexei G. Orlov
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Abstract

We report systematic, out-of-sample evidence on the benefits to an already well-diversified investor that may derive from further diversification into various hedge fund strategies. We investigate dynamic strategic asset allocation decisions that take into account investors’ preferences, realistic transaction costs, return predictability, and the parameter uncertainty that such predictability implies. Our results suggest that not all hedge fund strategies benefit a long-term investor who is already well-diversified across stocks, government and corporate bonds, and REITs. However, when parameter uncertainty is accounted for, the best performing models offer net positive economic gains to investors with low and moderate risk aversion. Most of the realized economic value fails to result from mean-variance-type enhancements in realized performance but comes instead from an improvement in realized higher-moment properties of optimal portfolios.

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投资者能从对冲基金策略中获益吗?基于效用的样本外证据
我们报告了系统的、样本外的证据,证明已经充分分散的投资者可能从进一步分散到各种对冲基金策略中获得好处。我们研究了考虑投资者偏好、实际交易成本、回报可预测性以及这种可预测性所隐含的参数不确定性的动态战略资产配置决策。我们的研究结果表明,并不是所有的对冲基金策略都有利于已经在股票、政府和公司债券以及房地产投资信托基金中进行了良好分散的长期投资者。然而,当考虑到参数的不确定性时,表现最好的模型为低和中等风险厌恶的投资者提供净正经济收益。大多数已实现的经济价值不是来自已实现业绩的均值方差型增强,而是来自已实现的最优投资组合高矩特性的改进。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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