In this paper, we propose to study a hedge funds allocation problem. A typical feature of those alternative investments vehicles is their propensity to cease their activity after experiencing a distressing situation. We use an expected utility framework to integrate the hedge funds survival...

This study focuses on two problems that affect the choice of alternative investments, that is the style consistency of the manager and his survival probability. We first present a new quantitative approach to describe fund managers style consistency. We show, through hard and fuzzy clustering,...

This study focuses on a sensible issue in the hedge fund industry, namely the performance persistence of hedge fund managers.We first analyse the existence of relative performance persistence among individual hedge funds on a cumulative return basis. It is shown that the Specialist Credit and...

In this study we analyze the performance persistence of hedge funds over different time horizons. Using a non-parametric test, we first observe that the relative value and the specialist credit strategies contain the highest proportion of outperforming mangers. Furthermore, there is no evidence...

We use an expected utility framework to integrate the hedge funds survival uncertainty into an asset allocation optimizartion model. The addition of investment constraints complicates the resolution of the optimal allocation problem. It is solved using a genetic algorithm that mimics the...