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Efficient fund of hedge funds construction under downside risk measures

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  • Morton, David P.
  • Popova, Elmira
  • Popova, Ivilina
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4GGWGD2-1/2/af899fbfb7d88a8358528e932429142a
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 2 (February)
    Pages: 503-518

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:503-518

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    1. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    2. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    4. Arjen Siegmann & Andr´┐Ż Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
    5. David Morton & Elmira Popova & Ivilina Popova & Ming Zhong, 2003. "Optimizing Benchmark-Based Utility Functions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 10(18).
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    7. Sid Browne, 1999. "Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark," Finance and Stochastics, Springer, vol. 3(3), pages 275-294.
    8. Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-41.
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    Cited by:
    1. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
    2. Harris, Richard D.F. & Mazibas, Murat, 2010. "Dynamic hedge fund portfolio construction," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 351-357, December.
    3. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    4. Glawischnig, Markus & Sommersguter-Reichmann, Margit, 2010. "Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 295-303, February.
    5. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
    6. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.

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