Alternative investments: asset allocation in multimanagement

asset allocation

There are two main challenges in applying standard asset allocation methods, for example efficient frontier analysis, to designing optimal portfolios including hedge funds.

One is that it is extremely difficult to obtain a forward-looking estimate of a hedge fund's expected return. Therefore, we will review advanced techniques consistent with the presence of significant parameter uncertainty in the asset-allocation process.

Another challenge comes from hedge fund returns generally not being no

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