Dedicated to the memory of my two most admired purists whose work stood the test of time
against the critics: Theodore Samuel Williams, baseball player and fisherman and Merton H …

This paper attempts to evaluate the out-of-sample performance of an improved estimator of
the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio …

This study investigated the efficiency of the oil refining industry using the two-stage method
of Markowitz portfolio optimization theory and panel data analysis of about 30 OECD …

Introducing Data Envelopment Analysis (DEA)--a quantitative approach to assess the
performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …

Since the launch of the European Union Emission Trading Scheme (EU ETS), the interest in
the trade of EUAs is constantly increasing among academics and market participants. The …

Although emerging market economies consist of 50% of the global population, they are
relatively unknown. Filling this knowledge gap, Emerging Markets: Performance, Analysis …

Private equity is a critical asset that has become widely accepted as a key component of
investment portfolios. Its major virtue is that it delivers attractive risk-adjusted returns with …

This paper examines how private equity affects the performance of an investment portfolio
which is primarily weighted in listed equities. Quarterly performance data across a ten-year …

Despite repeated evidence that asset allocation accounts for a very large fraction of a
portfolio return, the industry has never stopped favouring stock picking as the preferred form …