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.File in questo prodotto:
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