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Alternative risk measures for alternative investments
The Journal of Risk, 2006This paper deals with portfolio optimization under different risk constraints. We use a set of hedge funds where departures from normality are significant. We optimize the expected return under standard deviation, semivariance, value-at-risk (VAR) and expected shortfall (or CVAR) constraints.
Malevergne, Yannick +3 more
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The Journal of Alternative Investments, 2000
The Goldman, Sachs & Co. and Frank Russell Capital Inc. survey of alternative investment use by pension funds, foundations, and endowments and are regarded as a major industry source on the changing demand of alternative investments and domestic and international private investments, including but not limited to venture capital, leveraged buyout funds,
Thomas J. Healey, Hal Strong
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The Goldman, Sachs & Co. and Frank Russell Capital Inc. survey of alternative investment use by pension funds, foundations, and endowments and are regarded as a major industry source on the changing demand of alternative investments and domestic and international private investments, including but not limited to venture capital, leveraged buyout funds,
Thomas J. Healey, Hal Strong
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2013
AbstractMonthly return distributions of alternative assets are generally not normally distributed and typically show significantly smoothed returns, which can lead to an underestimation of risk. Furthermore, portfolio optimization in the mean-variance framework that includes alternative assets is suboptimal.
Hass, Lars Helge +2 more
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AbstractMonthly return distributions of alternative assets are generally not normally distributed and typically show significantly smoothed returns, which can lead to an underestimation of risk. Furthermore, portfolio optimization in the mean-variance framework that includes alternative assets is suboptimal.
Hass, Lars Helge +2 more
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The Journal of Alternative Investments, 2001
Hedge funds are often described as an alternative asset. In fact, hedge funds are not an alternative to traditional stock and bond investments in that they replace existing traditional investments but are complementary because they offer unique risk and return opportunities when combined with traditional assets.
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Hedge funds are often described as an alternative asset. In fact, hedge funds are not an alternative to traditional stock and bond investments in that they replace existing traditional investments but are complementary because they offer unique risk and return opportunities when combined with traditional assets.
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Alternative Marketing for Alternative Investments
SSRN Electronic Journal, 2013Until recently, hedge funds could advertise only indirectly, because direct solicitation was banned. We analyze the causes and effects of indirect advertising by relating the ads for hedge funds’ parent institutions and sibling mutual funds back to the hedge funds’ circumstances, and forward to their flows and performance.
Yan Lu, David K. Musto, Sugata Ray
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Evaluation of risk in investment alternatives
Computers & Industrial Engineering, 1977Abstract Economic decisions regarding capital investments involve choosing different proposed alternatives. Each of these alternatives includes events and outcomes that would occur in the future. In making such decisions, there is always an amount of risk involved regarding the future outcomes of the different alternatives.
M. Sadek Eid, Hamed Kamal Eldin
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An Alternative Strategy to Foreign Investment
The International Executive, 1975The strategy of foreign investment by American multinational corporations is, in the language of economists, only the second-best solution to the challenge posed by foreign competition and the relative decline of the American economy. In simplest terms, what the United States has been doing is exporting or trading away its comparative advantages ...
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