This chapter proposes a nonparametric methodology to determine the set of Pareto‐optimal
portfolios in the four‐moment space, with an application to hedge fund asset allocation. It …

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… allocation and pricing models/edited by Emmanuel Jurczenko and Bertrand Maillet. p. cm.—…

We describe a statistical technique, which we call Moment Component Analysis (MCA), that
extends principal component analysis (PCA) to higher co-moments such as co-skewness …

This chapter generalises the traditional capital asset pricing model (CAPM) relation in the
four‐moment framework, with or without a risk‐less asset. The validity of the Sharpe‐Lintner‐…

… The same conclusion arises when hedging is under study (results are not reported here
to save space—see Jurczenko et al (Citation2002a), and also Vähämaa (Citation2003). …

… © ISTE Press Ltd 2015 The rights of Emmanuel Jurczenko to be identified as the author of
this work have been asserted by him in accordance with the Copyright, Designs and Patents …

Risk-based portfolio strategies-such as Minimum Variance, Maximum Diversification,
Equally-Weighted and Risk Parity, to name the most famous-have become increasingly popular in …

… Following the approach of Rossi and Tibiletti (1996) and Jurczenko and Maillet (2001), we
show how such polynomial specification can satisfy – over a realistic range of returns – the …

We construct a novel dataset to explore the returns of private equity in international markets (ie,
other than North America). We investigate fund performance and persistence and …

… © ISTE Ltd 2020 The rights of Emmanuel Jurczenko to be identified as the author of this
work have been asserted by him in accordance with the Copyright, Designs and Patents Act …