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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© 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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DOI: https://doi.org/10.1057/9781137025098_14
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