TY - JOUR T1 - Mean-Modified Value-at-Risk Optimization with Hedge Funds JF - The Journal of Alternative Investments SP - 21 LP - 25 DO - 10.3905/jai.2002.319052 VL - 5 IS - 2 AU - Laurent Favre AU - José-Antonio Galeano Y1 - 2002/09/30 UR - https://pm-research.com/content/5/2/21.abstract N2 - 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. ER -