Cvitanic, J.; Lazrak, A.; Martellini, L.; Zapatero, F. - In: Quantitative Finance 3 (2003) 1, pp. 28-39
What percentage of their portfolio should investors allocate to hedge funds? The only available answers to the above question are set in a static mean-variance framework, with no explicit accounting for uncertainty on the active manager's ability to generate abnormal return, and usually generate...