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

Mannheim Finance Working Paper No. 2007-08

28 Pages Posted: 19 Sep 2007  

Jochen Mandl

University of Mannheim - School of Business Administration (BWL)

Date Written: September 2007

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.

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

JEL Classification: G11, G23

Suggested Citation

Mandl, Jochen, A Data-Analytic Examination of the Risk in Hedge Funds Returns: The g-and-h Distributions (September 2007). Mannheim Finance Working Paper No. 2007-08. Available at SSRN: https://ssrn.com/abstract=1015472 or http://dx.doi.org/10.2139/ssrn.1015472

Jochen Mandl (Contact Author)

University of Mannheim - School of Business Administration (BWL) ( email )

Universität Mannheim
Schloss
Mannheim, 68131
Germany

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