The rise of populism across Europe and the US–first in the wake of the 2008 global financial
crisis and then in the shape of Donald Trump's presidential campaign and the Brexit vote in …

In recent decades, the financial system has undergone a significant transformation. The
change in its architecture resulted in the emergence and rapid development of numerous …

Hedge funds typically have non-normal return distributions marked by significant positive or
negative skewness and high kurtosis. Mean-variance optimization models ignore these …

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 …

In this article, we note how a set of active commodity strategies could potentially add value to
an investor's commodity allocation. But we also emphasize the due care that must be taken …

Publisher Summary The current environment is one of risks of adverse supply shocks
because of aging US and European energy infrastructure as well as expanding Chinese …

We introduce a general and flexible framework for hedge fund performance evaluation and
asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for …

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 …

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack
of transparency and worse, very limited liquidity (they are often closed to new investors and …

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 …