A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...

Despite having registered significant investor appetite in recent years, empirical research on UCITS compliant hedge funds (“Newcits” or “Alternative UCITS”) is a rare commodity. The major contribution of this paper is therefore to evaluate the performance of publicly regulated...

Research in hedge fund investing proposes different solutions to build optimal hedge fund portfolios. However, these solutions are direct extensions of the usual meanvariance framework, and still suffer from model risks. More complex approaches start to be used but are related to numerous...