This paper develops a technique for fund of hedge funds to allocate capital across different
hedge fund strategies and traditional asset classes. Our adaptation of the polynomial goal …

This contribution compares existing and newly developed techniques for geometrically
representing mean–variance–skewness portfolio frontiers based on the rather widely …

We analyze the effectiveness of developed and emerging market foreign-exchange options
in international portfolios as a complement to forwards for actively managing portfolio …

In this paper we develop tools and intuition for portfolio optimization for multiple
conservation objectives. We show it is more efficient to optimize a conservation portfolio for …

The COVID-19 pandemic has severely impacted financial markets, triggering a flight from
risky to safe-haven assets. This paper analyzes the safe-haven properties of hedge funds …

Polynomial goal programming (PGP) is a flexible method that allows investor preferences for
different moments of the return distribution of financial assets to be included in the portfolio …

This paper analyzes the relevance of a set of some performance measures for optimal
portfolios including hedge funds. Four criteria are considered: the Sharpe Ratio, the Returns …

The challenge posed by historically low-interest rates is particularly significant for insurance
companies, especially those specializing in life insurance. This study investigates a potential …

Hedge funds are often used by institutional investors as a risk reduction tool in order to
decrease portfolio volatility and create more stable return patterns. Normally, the portfolio …

We propose a new methodology to include hedge funds in a traditional portfolio. The
concept of 'substitution'consists of activating a passive traditional investment strategy in a …