Publications [#266741] of David A. Hsieh

Journal Articles

1. Fung, W; Hsieh, DA, Is mean-variance analysis applicable to hedge funds?, Economics Letters, vol. 62 no. 1 (January, 1999), pp. 53-58, Elsevier BV [doi]
   (last updated on 2026/01/17)

   Abstract:
   This paper shows that the mean-variance analysis of hedge funds approximately preserves the ranking of preferences in standard utility functions. This extends the results of [Levy, H., Markowitz, H.M., 1979. Approximating expected utility by a function of mean and variance. American Economic Review 69, 308-317] and [Hlawitschka, W., 1994. The empirical nature of Taylor-series approximations to expected utility. American Economic Review 84, 713-719] for individual stocks and portfolios of stocks.