The Owen Graduate School of Management, Vanderbilt University. The authors thank seminar participants at the Commodity Futures Trading Commission, Emory University, Indiana University, Vanderbilt University, and the 2008 American Finance Association annual meeting for helpful suggestions. Cliff Ball, Bruce Cooil, Chris Kirby, Andrew Patton, and Jay Shanken provided useful comments. Research support from the Managed Funds Association is gratefully acknowledged.
Hedge Fund Risk Dynamics: Implications for Performance Appraisal
Version of Record online: 13 MAR 2009
© 2009 the American Finance Association
The Journal of Finance
Volume 64, Issue 2, pages 985–1035, April 2009
How to Cite
BOLLEN, N. P.B. and WHALEY, R. E. (2009), Hedge Fund Risk Dynamics: Implications for Performance Appraisal. The Journal of Finance, 64: 985–1035. doi: 10.1111/j.1540-6261.2009.01455.x
- Issue online: 13 MAR 2009
- Version of Record online: 13 MAR 2009
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