This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

" An excellent and comprehensive source of information on hedge funds! From a quantitative
view Lhabitant has done it once again by meticulously looking at the important topics in the …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

Since hedge fund returns exhibit non-linear option-like exposures to standard asset classes
(Fung and Hsieh (1997a, 2000a)), traditional linear factor models offer limited help in …

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample
performance of various non‐linear and conditional hedge fund replication models. We find …

That hedge funds start gaining wide acceptance while they still remain a somewhat
mysterious asset class enhances the need for a better measurement of their performance …

A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …

Trading of exchange-listed, SEC-regulated options contracts began with the launch of the
Chicago Board Options Exchange®(CBOE®) in 1973—the same year the landmark Black …

What percentage of their portfolio should investors allocate to hedge funds? The only
available answers to the above question are set in a static mean-variance framework, with …

With institutional investors increasingly involved in alternative investments, portfolio
optimisation within a large universe of hedge funds has become a key area for research …