PT  - JOURNAL ARTICLE
AU  - Laurent Favre
AU  - José-Antonio Galeano
TI  - Mean-Modified Value-at-Risk Optimization with Hedge Funds
AID  - 10.3905/jai.2002.319052
DP  - 2002 Sep 30
TA  - The Journal of Alternative Investments
PG  - 21--25
VI  - 5
IP  - 2
4099  - https://pm-research.com/content/5/2/21.short
4100  - https://pm-research.com/content/5/2/21.full
AB  - Based on the normal value-at-risk, we develop a new value-at-risk method called modified value-at-risk. This modified value-at-risk has the property to adjust the risk, measured by volatility alone, with the skewness and the kurtosis of the distribution of returns. The modified value-at-risk allows us to measure the risk of a portfolio with non-normally distributed assets like hedge funds or technology stocks and to solve for optimal portfolio by minimizing the modified value-at-risk at a given confidence level.