Portfolio allocation with hedge funds: Case study of a Swiss institutional investor
Asset allocation advisers usually use the mean-variance framework to show the benefits of investing in hedge funds. The authors prove that this is not optimal when the assets are not normally distributed and develop a method based on a modified Value-at-Risk for non-normally distributed assets. We take the example of a Swiss pension fund investing part of its wealth in hedge funds and show that computing a portfolio with mean and variance considerably underestimates the risk of the portfolio.
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Volume (Year): 4 (2002)
Issue (Month): ()
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