Optimal Allocation to Hedge Funds : An Empirical Analysis

@inproceedings{Cvitanic2002OptimalAT,
  title={Optimal Allocation to Hedge Funds : An Empirical Analysis},
  author={Jaksa Cvitanic and Ali Lazrak and Lionel Martellini and Fernando Zapatero},
  year={2002}
}
What percentage of their portfolio should investors allocate to hedge funds? The only available answers to the above question are set in a static mean-variance framework, with no explicit accounting for uncertainty on the active manager’s ability to generate abnormal return, and usually generate unreasonably high allocations to hedge funds. In this paper, we apply the model introduced in Cvitaníc, Lazrak, Martellini and Zapatero (2002b) for optimal investment strategies in the presence of… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 39 references

Hedge funds with style, working paper, Yale University

S W.Brown
Goetzmann, • 2001
View 7 Excerpts
Highly Influenced

On taking the alternative route: risks, rewards, and performance persistence of hedge funds

V. Agarwal, N. Naik
Journal of Alternative Investments, • 2000
View 6 Excerpts
Highly Influenced

Multi-factor models in managed futures, hedge fund and mutual fund estimation, working paper, CISDM, University of Armhest

T. Schneeweis, R. Spurgin
1999
View 4 Excerpts
Highly Influenced

Style consistency and survival probability in the hedge funds

P. A. Bares, R. Gibson, S. Gyger
Swiss Federal Institute of Technology and University of Zurich • 2001
View 3 Excerpts
Highly Influenced

Beyond mean-variance: risk and performance measures for portfolios with nonsymetric distributions, working paper, Haas School of Business, U.C. Berkeley

H. Leland
1999
View 3 Excerpts
Highly Influenced

Benefits and risks of alternative investment strategies, working paper, EDHEC-MISYS Risk and Asset Management Research Center

N. Amenc, L. Martellini
Vaissié, • 2002
View 2 Excerpts

Similar Papers

Loading similar papers…