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 …

Hedge funds have return peculiarities not commonly associated with traditional investment
vehicles. Specifically, hedge funds seem more inclined to produce return distributions with …

Este artigo aplica o modelo de análise de estilo baseado em retornos (RBSA) considerando
explicitamente a presença de exposições variantes no tempo. Inicialmente, o modelo é …

This paper looks at the risk-adjusted performance of dynamic asset allocation strategies
across hedge fund indices using conditional volatility forecasting methods for constructing …

In this article, we provide the busy reader with a survey of articles that were written over the
past four years on hedge funds. Specifically, we review the economic basis for hedge fund …

Recent experience has reminded us that a private equity program cannot be viewed in
isolation. What really matters is understanding just how the program might succeed or fail in …

This paper reviews the literature on Hedge Fund performance attribution. Hedge Funds
follow very dynamic and leveraged strategies and invest massively in derivatives and illiquid …

This article gives an overview of the risk and return characteristics of hedge funds. Analyzing
the extensive research on hedge funds during the past two decades, this article discusses …

This paper provides a risk framework for fiduciaries by considering using a core-satellite
approach to investing. While the article mainly covers the additional risk measurement …

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to
their alternative risk factors and sources of return. But as the return distribution of hedge …