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Mean-Modified Value-at-Risk Optimization with Hedge Funds
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- Performance Measurement in the Life Insurance Industry: An Asset-Liability Perspective
- Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk Looms
- Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
- Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?
- Effect of Booms and Busts on the Sharpe Ratio
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- Rankings of the Largest 25 Hedge Funds during the * 2009-2013 Period
- Understanding the Estimation Risks of Value at Risk
- A Note on the Use of Modified Value-at-Risk
- Investing in Times of Inflation Fears: Diversification Properties of Investments in Liquid Real Assets
- The Impact of Illiquidity and Higher Moments of * Hedge Fund Returns on Their Risk-Adjusted * Performance and Diversification Potential
- On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note