The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.

Hedge fund portfolio allocation with higher moments and MVG models / A. Hitaj, L. Mercuri - In: Advances in finacial risk management : corporates, intermediaries and portfolios / [a cura di] J.A. Batten, P. MacKay, N. Wagner. - New York : Palgrave Macmillan, 2013. - ISBN 978-1-349-43874-7. - pp. 331-346 [10.1057/9781137025098_14]

Hedge fund portfolio allocation with higher moments and MVG models

L. Mercuri
2013

Abstract

The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.
Mean Square Error; Portfolio Selection; Hedge Fund; High Moment; Asset Return
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2434/233385
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