The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.

Hedge Fund Portfolio Allocation with Higher Moments and MVG Models

Hitaj A.
Methodology
;
2013-01-01

Abstract

The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.
2013
Palgrave Macmillan
9781137025098
9781349438747
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11383/2100387
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