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The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios
13 references·1 citing·50 second hop
The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios (2006)The Relative Merits of Investable Hedge F…What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis (2006)What Every Investor Should Kn…Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis (2006)Improving Hedge Fund Risk Exp…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)The Statistical Properties of…The Intuition Behind Black-Litterman Model Portfolios (2002)The Intuition Behind Black-Li…Portfolio Optimization and Hedge Fund Style Allocation Decisions (2002)Portfolio Optimization and He…A Universal Performance Measure (2002)A Universal Performance Measu…Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (1999)Beyond Mean–Variance: Perform…Spot Returns, Roll Yield, and Diversification with Commodity Futures (1998)Spot Returns, Roll Yield, and…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Estimating Market Values from…Global Portfolio Optimization (1992)Global Portfolio OptimizationConservative Commodities (1978)Conservative CommoditiesPerformance analysis of Turkey’s participation and conventional indices using TOPSIS method (2020)Performance analysis of Turke…Asset Allocation (1991)Modern Investment Management: An Equilibrium Approach (2003)A step-by-step guide to the Black-Litterman model (2007)Bayesian Portfolio Analysis (2010)The Efficiency of the Market for Single-Family Homes (1988)Forecasting Prices and Excess Returns in the Housing Market (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds and the Technology Bubble (2004)Asset returns and inflation (1977)Facts and Fantasies about Commodity Futures (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes (2016)Commodity Connectedness (2017)Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs (2021)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Risk Aversion in the Small and in the Large (1976)A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Conditional Risk Premia in Currency Markets and Other Asset Classes (2013)PORTFOLIO SELECTION* (1952)The arbitrage theory of capital asset pricing (1976)Quantile regression analysis of hedge fund strategies (2008)Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Efficient Indexation: An Alternative to Cap-Weighted Indices (2011)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Mutual Fund Performance (1966)Hedge Funds: Risk and Return (2005)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)A Survey of Systemic Risk Analytics (2012)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Portfolio optimization with return prediction using deep learning and machine learning (2020)Frameworks and Results in Distributionally Robust Optimization (2022)
this work references cited by second hop

References

  • 1992Global Portfolio Optimization1,846 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2002A Universal Performance Measure590 cited
  • 2002The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors426 cited
  • 1993Estimating Market Values from Appraised Values without Assuming an Efficient Market420 cited
  • 2002The Intuition Behind Black-Litterman Model Portfolios272 cited
  • 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World223 cited
  • 2006What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis123 cited
  • 2002Portfolio Optimization and Hedge Fund Style Allocation Decisions107 cited
  • 2006Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis76 cited
  • 1978Conservative Commodities71 cited
  • 1998Spot Returns, Roll Yield, and Diversification with Commodity Futures46 cited

Cited by

  • 2020Performance analysis of Turkey’s participation and conventional indices using TOPSIS method19 cited

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