Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

This article studies the impact of modeling time-varying covariances/correlations of hedge
fund returns in terms of hedge fund portfolio construction and risk measurement. We use a …

In this paper we study the possible role of managed futures in portfolios of stocks, bonds,
and hedge funds. We find that allocating to managed futures allows investors to achieve a …

In this paper, we employ the stochastic dominance (SD) approach to rank the performance
of commodity trading advisors (CTA) funds. An advantage of this approach is that it …

Pension funds are crucial in supporting environmentally sustainable and socially
responsible investments. This paper focuses on an essential product of pension funds …

One-stop-guide to the hedge fund industry, investment and trading strategies adopted by
hedge funds and the industry's regulation. For anyone with an interest in investing or …

In this paper, we study alternative investment vehicles such as hedge funds, funds-of-funds,
and commodity trading advisors (CTAs) by investigating their performance, risk, and fund …

Alfred Winslow Jones started a hedge fund in 1949, pioneering the con-cept and strategy of
using hedges to protect his portfolios against market declines. Though hugely successful …

Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

In this paper we optimize a hedge fund portfolio considering higher moments of the different
hedge fund strategy return distributions. We replace the empirical return distributions which …