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Mean-Modified Value-at-Risk Optimization with Hedge Funds
5 references·16 citing·47 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1952Portfolio Selection4,609 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 1994The empirical nature of Taylor-Series approximations to expected utility126 cited

Cited by

  • 2020Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic603 cited
  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
  • 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance215 cited
  • 2003Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio201 cited
  • 2019Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets184 cited
  • 2009Is international diversification really beneficial?148 cited
  • 2021Are clean energy assets a safe haven for international equity markets?143 cited
  • 2008Estimation and decomposition of downside risk for portfolios with non-normal returns138 cited
  • 2004Hedge fund performance appraisal using data envelopment analysis130 cited
  • 2014

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Risk model-at-risk
102 cited
  • 2020Comparing COVID-19 with the GFC: A shockwave analysis of currency markets100 cited
  • 2009Fund of hedge funds portfolio selection: A multiple-objective approach100 cited
  • 2003Asymmetric Returns and Optimal Hedge Fund Portfolios97 cited
  • 2016The Price of Shelter - Downside Risk Reduction with Precious Metals93 cited
  • 2021Which clean energy sectors are attractive? A portfolio diversification perspective83 cited
  • 2016Islamic or conventional mutual funds: Who has the upper hand? Evidence from Malaysia81 cited