The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios
Year of publication: |
2006-11
|
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Authors: | Pezier, Jacques ; White, Anthony |
Institutions: | Henley Business School, University of Reading |
Subject: | hedge funds | investable hedge funds indices | funds of hedge funds | commodities | VIX | mean-variance analysis | Sharpe Ratio | Adjusted Sharpe Ratio | Omega Ratio | Black Litterman model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Forthcoming in Journal of Alternative Investments Number icma-dp2006-10 32 pages |
Classification: | G11 - Portfolio Choice ; C53 - Forecasting and Other Model Applications |
Source: |
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