Asset allocation with hedge funds on the menu

DOI10.1080/10920277.2007.10597481MaRDI QIDQ5019763zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Sun Siang Liew

Publication date 10 January 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2007.10597481

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A Regime-Switching Model of Long-Term Stock Returns
• Chapter 1 Dating Business Cycle Turning Points
• Estimation for Markowitz Efficient Portfolios
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Optimal allocation to hedge funds: an empirical analysis
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Short rate nonlinearities and regime switches.
• The 1/n Pension Investment Puzzle

Cited in

(3)

• scientific article; zbMATH DE number 1304940 (Why is no real title available?)
• Trend-following hedge funds and multi-period asset allocation
• Optimal allocation to hedge funds: an empirical analysis

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