This paper analyses the risk‐return trade‐off in the hedge fund industry. We compare semi‐
deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard …

In this book, the author draws from finance, psychology, economics, and other disciplines in
business and the social sciences, recognising that personal finance and investments are …

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 …

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

According to Eurekahedge Inc., the global hedge fund industry has been experiencing a
bumpy ride since 2016. There was a huge redemption of US $8.7 billion in September 2016 …

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 …

The objective of this paper is to examine whether the available data on hedge funds (HFs)
and funds-of-hedge funds (FOHFs) can reveal the risk-return trade-off and, if so, to find the …