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 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...

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...

"This study examines the style classification and the style consistency of hedge funds using a new proprietary database over the period May 1989 to April 1999. First, a hard clustering procedure is applied to classify hedge funds into homogeneous groups. It is shown that the methodology is...