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Keywords: Optimization
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Journal Articles
The value added of hedge fund styles in multi‐asset portfolios: A new approach based on bull and bear market betas
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2013) 12 (1): 44–59.
Published: 15 February 2013
... the risk return characteristics of a traditional portfolio as well as optimal allocation sizes are not available. The aim of the paper is to try to close this gap by proposing a portfolio optimization approach based upon the traditional market exposures of the different hedge fund strategies. Design...
