This paper tests the effect of background risk on university endowment portfolios, where
background risk is defined as the volatility of universities' nonfinancial income. The results …

We introduce a framework for strategic asset allocation with alternative investments. Our
framework uses a quantifiable risk preference parameter, λ, instead of a utility function. We …

• Most databases are of relatively low quality as most data vendors simply pass on the data
supplied by the fund managers and their administrators without any independent …

Pension funds only quite recently have explored alternative assets, prodded by financial
crises that devastated equity returns and led to low bond returns. We assess the addition of …

The CAPM model is hard put to explain the superior performance of hedge funds in the past.
We argue that the Markowitz mean-variance criterion underpinning the traditional CAPM …

In contrast to the more established alternative asset classes like real estate or hedge funds,
there is not much research available for investments in shipping. This article contributes to …

The COVID-19 pandemic has severely impacted financial markets, triggering a flight from
risky to safe-haven assets. This paper analyzes the safe-haven properties of hedge funds …

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 …

Alfred Winslow Jones started a hedge fund in 1949, pioneering the con-cept and strategy of
using hedges to protect his portfolios against market declines. Though hugely successful …

Hedge funds are often used by institutional investors as a risk reduction tool in order to
decrease portfolio volatility and create more stable return patterns. Normally, the portfolio …