In this article, we evaluate alternative optimization frameworks for constructing portfolios of hedge funds. We compare the standard mean–variance optimization model with models based on CVaR, CDaR and Omega, for both conservative and aggressive hedge fund investment strategies. In order to...

In this paper, we provide further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and portfolio allocation, using monthly hedge fund index return data for the period 1990 to 2009. Building on Giamouridis and Vrontos (2007), we consider a broad set...