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Greg N. Gregoriou
Greg N. Gregoriou is Professor of Finance at the State University of New York Plattsburgh.
== Biography ==
A native of Montreal, PQ, Canada, Gregoriou obtained his PhD in 2004 at the University of Quebec at Montreal in Finance. He has published 52 books, 68 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY (Plattsburgh) in August 2003.
His research concerns hedge funds, funds of hedge funds (FoHFs) and Commodity Trading Advisors (CTAs) since 2001. In a recent article published in the Review of Asset Pricing Studies (2012) and co-written with Stephen J. Brown (NYU) and Razvan Pascalau (SUNY) Plattsburgh, entitled “Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?” the authors find that the variance reducing effects of diversification peter out once FoHFs hold more than 20 underlying hedge funds. Yet the majority of FoHFs are more diversified than this. The authors find a new and surprising result that this excess diversification actually increases the left tail risk exposure of FoHFs particularly once they account for the extent to which hedge fund returns are smoothed. Furthermore, the average FoHF in their sample is more exposed to left tail risk than are naïve 1/N randomly chosen portfolios.
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