Essential assets

Hedge fund analysis

This book fills a gap. It brings together in a logical sequence a vast swath of work by statisticians and economists on optimal allocation among risky assets.

The original Markowitz framework took expected returns and co-variances of returns as a given, and settled for a simplistic mean-variance preference criteria for choosing among portfolios. Subsequent work explored the modelling assumptions for security prices and the limitations of mean-variance analysis, suggesting more realistic crite

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: