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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
16 references·0 citing·45 second hopsampled
Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung (2007)Portfoliooptimierung mit Hedgefonds unter…Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach (2016)Fund of Hedge Funds Portfolio…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Skewness persistence with optimal portfolio selection (2003)Skewness persistence with opt…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)The Statistical Properties of…The Difficulties of Measuring the Benefits of Hedge Funds (2002)The Difficulties of Measuring…Sharpening Sharpe Ratios (2002)Sharpening Sharpe RatiosSelecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…Portfolio Selection and Asset Pricing (2002)Portfolio Selection and Asset…Hedge Funds: Myths and Limits (2002)Hedge Funds: Myths and LimitsRisk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…The Utility Analysis of Choices Involving Risk (1948)PORTFOLIO SELECTION* (1952)Mean-semivariance models for fuzzy portfolio selection (2007)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)American Economic Review (2019)The Cross-Section of Expected Stock Returns (1992)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green Versus Brown Stocks (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Skewness in financial returns (1999)Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Presidential Address: Discount Rates (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)… and the Cross-Section of Expected Returns (2015)A Random Walk Down Wall Street (1973)The Econometrics of Financial Markets (1997)The Adaptive Markets Hypothesis (2004)The Econometrics of Financial Markets (2012)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Mutual Fund Performance (1966)Hedge Funds: Risk and Return (2005)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Robust performance hypothesis testing with the Sharpe ratio (2008)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Using daily stock returns (1985)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Mean-VaR portfolio optimization: A nonparametric approach (2017)
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References

  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors426 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 2002Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets219 cited
  • 2002Sharpening Sharpe Ratios189 cited
  • 2003Skewness persistence with optimal portfolio selection113 cited
  • 2002Hedge Funds: Myths and Limits105 cited
  • 2002Portfolio Selection and Asset Pricing91 cited
  • 2002The Difficulties of Measuring the Benefits of Hedge Funds64 cited

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  • 2016Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach56 cited
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