RT Journal Article SR Electronic T1 Mean-Modified Value-at-Risk Optimization with Hedge Funds JF The Journal of Alternative Investments FD Institutional Investor Journals SP 21 OP 25 DO 10.3905/jai.2002.319052 VO 5 IS 2 A1 Laurent Favre A1 José-Antonio Galeano YR 2002 UL https://pm-research.com/content/5/2/21.abstract AB Based on the normal value-at-risk, we develop a new value-at-risk method called modified value-at-risk. This modified value-at-risk has the property to adjust the risk, measured by volatility alone, with the skewness and the kurtosis of the distribution of returns. The modified value-at-risk allows us to measure the risk of a portfolio with non-normally distributed assets like hedge funds or technology stocks and to solve for optimal portfolio by minimizing the modified value-at-risk at a given confidence level.