A Data-Analytic Examination of the Risk in Hedge Funds Returns: The g-and-h Distributions

Abstract:     
In the recent years the alternative asset class of hedge funds is widely discussed in financial literature. On the one hand this is caused by an increasing demand on these unregulated investments and on the other hand it is caused by a lack of transparency concerning their investment strategies and investment instruments used. Especially this lack of knowledge gives reason to an unreflected adaption of the standard arguments of the attractiveness of a hegde fund investment, for example like a high expected return is going together with a low to a moderate risk. Therefore this lack of knowledge gives reason to hope for a lasting substantial improvement of the return/risk-profile through the incorporation of such an investment.

Number of Pages in PDF File: 28

Keywords: Risk, Hedge Funds, g-and-h distribution

JEL Classification: G11, G23

working papers series