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Optimal Hedge Fund Allocations
12 references·11 citing·46 second hop
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this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors426 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 1999Behaviorial Finance: Past Battles and Future Engagements357 cited
  • 2003Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio201 cited
  • 2001The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors188 cited
  • 2003Asymmetric Returns and Optimal Hedge Fund Portfolios97 cited

Cited by

  • 2009The Myth of Diversification84 cited
  • 2006Mean–variance versus full-scale optimisation: In and out of sample80 cited
  • 2016Enhancing mean–variance portfolio selection by modeling distributional asymmetries

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67 cited
  • 2007Extending Black-Litterman Analysis Beyond the Mean-Variance Framework60 cited
  • 2018When Diversification Fails57 cited
  • 2016Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach56 cited
  • 2010A Review of Goal Programming for Portfolio Selection45 cited
  • 2015Portfolio optimization under loss aversion39 cited
  • 2019They're back! Post-financialization diversification benefits of commodities33 cited
  • 2016Is Bitcoin the “Paris Hilton” of the Currency World? Or Are the Early Investors onto Something That Will Make Them Rich?26 cited
  • 2009Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?25 cited