Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/33741
Title: Risk measurement and investment myopia in hedge fund management
Authors: Li, X 
Wu, Z
Keywords: Absolute deviation
Agency conflict
Hedge fund
Investment myopia
Risk management
Issue Date: 2009
Publisher: Korean Securities Assoc
Source: Asia-pacific journal of financial studies, 2009, v. 38, no. 1, p. 1-33 How to cite?
Journal: Asia-Pacific Journal of Financial Studies 
Abstract: Lo (2001) surveys the literature on risk management for hedge funds, and recommends a dynamic and transparent risk measurement for the evolutionary hedge fund industry by citing Albert Einstein's comments. This study is to explore the feasibility and advantages of adopting a dynamic absolute-deviation risk measurement in hedge fund management. It does not only provide an optimal asset allocation strategy both analytically and numerically in a dynamic mean-absolute deviation (DMAD) setting for hedge fund managers, but also contributes to mitigation of potential investment myopia problems in their risktaking behaviors. It sheds light on risk management and investor-fund manager agency conflicts in the hedge fund industry and adds to the literature on portfolio selection and optimal asset allocation.
URI: http://hdl.handle.net/10397/33741
ISSN: 2041-6156
DOI: 10.1111/j.2041-6156.2009.tb00006.x
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