The returns to hedge funds and other alternative investments are often highly serially
correlated. In this paper, we explore several sources of such serial correlation and show that …

We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the …

The term systemic risk is commonly used to describe the possibility of a series of correlated
defaults among financial institutions—typically banks—that occurs over a short period of …

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be
manipulated with option-like strategies. In this paper we derive the general conditions for …

The growth of Socially Responsible Investment (SRI) has been impressive during the last
two decades. Such growth has stimulated financing of developments and improvements in …

Abstract In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough.
Many assets which are typically considered effective equity diversifiers also faced …

The hedge fund industry has grown dramatically over the last two decades, with more than
eight thousand funds now controlling close to two trillion dollars. Originally intended for the …

Dedicated to the memory of my two most admired purists whose work stood the test of time
against the critics: Theodore Samuel Williams, baseball player and fisherman and Merton H …

Funds of funds are an increasingly popular avenue for hedge fund investment. Despite the
increasing interest in hedge funds as an alternative asset class, the high degree of fund …