This paper investigates and compares the performances of the optimal portfolio selected by
using the Orthogonal GARCH (OGARCH) Model, Markov Switching Model and the …

Modeling time varying volatility and correlation in financial time series is an important
element in derivative pricing, risk management and portfolio management. The main goal of …

This paper investigates the conditional value-at-risk (CVaR) hedge funds portfolio
optimisation approach using a univariate GARCH type model, extreme value theory (EVT) …

Recent periods of market turbulence and stress have created considerable interest in
credible alternatives to traditional asset allocation methodologies. It would be preferred if …

One of the most debated issues of investment management is the relative importance of
asset allocation versus security selection. Regimes changes present a big challenge to …

We propose a Markov regime-switching approach accounting for false discoveries in order
to measure hedge fund performance. It enables us to extract information from both time …

In this study, we investigate the volatility behavior of daily returns of hedge fund strategy
indices, especially focusing on the inter-strategy contagion in the left-hand tail events by …

This paper aims to extend downside protection to a hedge fund investment portfolio based
on shared loss fee structures that have become increasing popular in the market. In …

This article tries to enhance traditional distribution paradigms for modelling asset returns by
considering an α-stable regime-switching model. Our approach is to perform an empirical …

In this paper the authors develop allocation methodologies for creating a portfolio of hedge
funds. Investments in hedge funds are often used in a broader portfolio to gain exposure to …