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• W1997260766 abstract "Extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions has a particular application to active style allocation decisions in hedge fund investing. Results here suggest that the systematic implementation of active style allocation decisions can add significant value in a hedge fund portfolio, provided implementation of a sound investment process to account for non-normality and parameter uncertainty in hedge fund return distributions. <bold>TOPICS:</bold> <ext-link>VAR and use of alternative risk measures of trading risk</ext-link>, <ext-link>portfolio construction</ext-link>" @default.
• W1997260766 created "2016-06-24" @default.
• W1997260766 creator A5010126556 @default.
• W1997260766 creator A5062778124 @default.
• W1997260766 date "2007-07-31" @default.
• W1997260766 modified "2023-09-26" @default.
• W1997260766 title "Extending Black-Litterman Analysis Beyond the Mean-Variance Framework" @default.
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• W1997260766 doi "https://doi.org/10.3905/jpm.2007.690604" @default.
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