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Advances in Financial Risk Management pp 331–346Cite as

Palgrave Macmillan

Hedge Fund Portfolio Allocation with Higher Moments and MVG Models

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Abstract

The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.

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Authors
  1. Asmerilda Hitaj
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  2. Lorenzo Mercuri
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Editor information

Editors and Affiliations

  1. Monash University, Melbourne, Australia

    Jonathan A. Batten

  2. Hong Kong University of Science and Technology, Hong Kong

    Peter MacKay

  3. Department of Business and Economics, University of Passau, Germany

    Niklas Wagner

Copyright information

© 2013 Asmerilda Hitaj and Lorenzo Mercuri

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Hitaj, A., Mercuri, L. (2013). Hedge Fund Portfolio Allocation with Higher Moments and MVG Models. In: Batten, J.A., MacKay, P., Wagner, N. (eds) Advances in Financial Risk Management. Palgrave Macmillan, London. https://doi.org/10.1057/9781137025098_14

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