Risks and returns in hedge funds – econometric and austrian economic perspectives


  • Mónica Vinje Redpath Doctoral Program in Applied Economics. Faculty of Law and Social Sciences, University King Juan Carlos. Madrid.




Hedge funds and funds of hedge funds are some of the preferred ways to access capital market opportunities by institutional investors and high net worth individuals seeking vehicles of absolute return. Risks and returns are difficult to assess because of skewness and kurtosis so that traditional mean and variance analyses are inappropriate. I assess the possible implications of high leverage finance and financial innovations from an Austrian economic viewpoint on the basis of an econometric analysis of hedge fund risk adjusted returns and a historical consideration of asset price shocks in Thailand and Japan.

Key words: Hedge funds, leveraged finance, Austrian economics, monetary policy, risk.

JEL classification: B53, C01, E58, D53.


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How to Cite

Redpath, M. V. . (2009). Risks and returns in hedge funds – econometric and austrian economic perspectives. REVISTA PROCESOS DE MERCADO, 6(1), 103–131. https://doi.org/10.52195/pm.v6i1.299