How to Price Hedge Funds: From Two-to Four-Moment CAPM

Topics:
Investment and Capital Markets
Tags:
Finance,
Financial Services,
Hedge Fund,
Investment,
UBS AG
Source:
UBS

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Overview: The CAPM model has serious difficulties to explain the past superior performance of most hedge funds. The purpose of this research is to analyze how to price hedge funds. This paper compares the traditional CAPM based on the Markowitz mean-variance criterion with extensions of the CAPM that account for co-skewness and co-kurtosis. The key result is that the risk-return characteristics of hedge funds can differ widely.

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Format: PDF | Size: 160KB | Date: Oct 2003 | Pages: 25

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