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T he significant growth of the hedge funds industry in the past decade has heen supplemented by increased allocations to alternative investments by high-net-worth individuals as well as endowments and foundations. In recetit years, there has been a steady shift in pension plan investment strategies toward aiternative investments and/or hedge funds. For(More)
In April and May 1979, an unusual anthrax epidemic occurred in Sverdlovsk, Union of Soviet Socialist Republics. Soviet officials attributed it to consumption of contaminated meat. U.S. agencies attributed it to inhalation of spores accidentally released at a military microbiology facility in the city. Epidemiological data show that most victims worked or(More)
We consider portfolio allocation in which the underlying investment instruments are hedge funds. We consider a family of utility functions involving the probability of outperforming a benchmark and expected regret relative to another benchmark. Non-normal return vectors with prescribed marginal distributions and correlation structure are modeled and(More)
We consider four utility functions, each of which incorporates a benchmark to better capture the motivations of today's portfolio managers. Assuming instrument returns are normally distributed, we establish conditions under which optimal portfolios for these utilities are mean-variance efficient and we briefly discuss computing solutions of the models via(More)
We use jackknife-based estimators to reduce bias when estimating the optimal value of a stochastic program. Our discussion focuses on an asset allocation model with a power utility function. As we will describe, estimating the optimal value of such a problem plays a key role in establishing the quality of a candidate solution, and reducing bias improves our(More)
This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of them there is no available (or impossible to gather) information. We(More)
Aim: Although breast cancer is a tumor sensitive to drug therapy, there is an urgent need for an effective treatment for pts with TNmBC. The study was performed to assess the efficacy and safety of CP combination in TNmBC. Methods: Elegibility criteria included measurable TNmBC, multiple metastases to visceral organs ≥ 2, ECOG ≤ 2, adequate liver, kidney(More)
We find that, on average, for the full sample of stocks comprising the S&P 100 index, the theoretically superior implied volatilities are less accurate forecasts than historically based forecasts of future volatilities. However, when we split our sample based on proxies for liquidity, we find that implied volatility forecasts are more accurate than(More)
Peter Ritchken is a professor of banking and finance at the Weatherhead School of Management, Case Western Reserve University; James Thomson is an assistant vice president and economist at the Federal Reserve Bank of Cleveland; and Ivilina Popova is a Ph.D. candidate in the Working papers of the Federal Reserve Bank of Cleveland are preliminary materials(More)