This paper attempts to evaluate the out-of-sample performance of an improved estimator of
the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …

Hedge funds are often thought of as being high-risk investments and many investors in the
past have shied away from them for fear of making large losses. However, over the recent …

The beginning of the twenty-first century was characterized by a rapid increase in the value
of the assets being managed as alternative investments. The process of further development …

In this paper I focus on analyzing whether Polish absolute return funds, which I call quasi-
hedge funds, add value to a portfolio of an individual investor by reaching higher returns …

With the establishment of modern portfolio theory, researchers started to test how well
observed portfolios reflect the theory's advice on normative diversification. Drawing …

We analyze the diversification choices of fund of funds (FoF). Diversification is not a free
lunch—not available for every FoF. Instead we find a positive log-linear relation between the …

While a number of alternative investment strategies are dominated by individual managers,
multi-manager portfolios hold a significant portion of the investment dollar as well. Given the …

Agricultural market advisory services offer specific advice to farmers on how to market their
commodities. Farmers can subscribe to one or more of these services and follow their advice …

Publisher Summary Hedge funds are often thought of as being high-risk investments, and
many investors in the past have shied away from them for fear of incurring large losses …