This paper introduces a general method to convert a model defined by moment conditions involving both observed and unobserved variables into equivalent moment conditions involving only observable variables. This task can be accomplished without introducing infinite-dimensional nuisance...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...