@article {Signer31, author = {Andreas Signer and Laurent Favre}, title = {The Difficulties of Measuring the Benefits of Hedge Funds}, volume = {5}, number = {1}, pages = {31--41}, year = {2002}, doi = {10.3905/jai.2002.319041}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, the use of the {\textquotedblleft}mean-variance approach{\textquotedblright} for the determination of the benefits of allocations to hedge funds is critically evaluated. The advantages of investing in hedge funds are often explained and demonstrated with reference to a shift in the efficiency frontier of traditional portfolios. The added value of hedge funds is almost always indicated in a mean-standard deviation environment and should in our view be reconsidered. The estimated risk exposure can be quantified by the introduction of value-at-risk analysis corrected according to higher moments of distribution. With this new risk measure, we are able to obtain a corrected value.}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/5/1/31}, eprint = {https://jai.pm-research.com/content/5/1/31.full.pdf}, journal = {The Journal of Alternative Investments} }