Asset Allocation with Hedge Funds on the Menu

DOI10.1080/10920277.2007.10597481zbMath1480.91263OpenAlexW2046702674MaRDI QIDQ5019763

Sun Siang Liew, Phelim P. Boyle

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597481

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Short rate nonlinearities and regime switches.
• Estimation for Markowitz Efficient Portfolios
• Optimal allocation to hedge funds: an empirical analysis
• Chapter 1 Dating Business Cycle Turning Points
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• The 1/n Pension Investment Puzzle
• A Regime-Switching Model of Long-Term Stock Returns

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