PT  - JOURNAL ARTICLE
AU  - Gaurav S. Amin
AU  - Harry M. Kat
TI  - Diversification and Yield Enhancement with Hedge Funds
AID  - 10.3905/jai.2002.319063
DP  - 2002 Dec 31
TA  - The Journal of Alternative Investments
PG  - 50--58
VI  - 5
IP  - 3
4099  - https://pm-research.com/content/5/3/50.short
4100  - https://pm-research.com/content/5/3/50.full
AB  - In this article, the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds are studied. The authors find that although the inclusion of hedge funds may significantly improve a portfolio's mean-variance characteristics, it can also be expected to lead to significantly lower skewness and higher kurtosis. This means that the case for hedge funds is less straightforward than often suggested and includes a definite trade-off between profit and loss potential.