Hedge Fund Portfolio Allocation with Higher Moments and MVG Models

Asmerilda Hitaj and Lorenzo Mercuri

Chapter 14 in Advances in Financial Risk Management, 2013, pp 331-346 from Palgrave Macmillan

Abstract: 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.

Keywords: Mean Square Error; Portfolio Selection; Hedge Fund; High Moment; Asset Return (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-02509-8_14

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DOI: 10.1057/9781137025098_14

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