" An excellent and comprehensive source of information on hedge funds! From a quantitative
view Lhabitant has done it once again by meticulously looking at the important topics in the …

A comprehensive guide to the burgeoning hedge fund industry Intended as a
comprehensive reference for investors and fund and portfolio managers, Handbook of …

The term systemic risk is commonly used to describe the possibility of a series of correlated
defaults among financial institutions—typically banks—that occurs over a short period of …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

Abstract Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher
expansion. It is fast to compute and reliable for non-normal returns. In this paper, we …

The hedge fund industry has grown dramatically over the last two decades, with more than
eight thousand funds now controlling close to two trillion dollars. Originally intended for the …

This paper develops a technique for fund of hedge funds to allocate capital across different
hedge fund strategies and traditional asset classes. Our adaptation of the polynomial goal …

A significant amount of research has been devoted to the predictability of traditional asset
classes, but little is known about the predictability of returns emanating from alternative …

This paper introduces a novel method for the construction of equity indices that, unlike their
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …

Correlations of returns on various assets play a central role in financial theory and also in
many practical applications. From a theoretical point of view, the main interest lies in the …