Following the success enjoyed by goal-based allocation over the last several years, the
author investigates what the focus away from traditional finance and toward behavioral …

In recent decades, the financial system has undergone a significant transformation. The
change in its architecture resulted in the emergence and rapid development of numerous …

Hedge funds typically have non-normal return distributions marked by significant positive or
negative skewness and high kurtosis. Mean-variance optimization models ignore these …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …

Hedge funds typically have non-normal return distributions marked by significant positive or
negative skewness and high kurtosis. Mean-variance optimization models ignore these …

The authors survey numerous hedge fund studies related to their institutional, historical and
performance characteristics; their purpose and effectiveness in achieving balanced …

Introduces a numerical approach to valuing US options on a foreign currency using a short
rate model. Description of the Amin and Jarrow Currency Option Model; Application of the …

During the past years, the institutional interest in investments into hedge funds and Real
Estate Investment Trusts (REITs) has grown considerably. In this paper, the benefits of …

The focus placed on behavioral finance to help individual investors select a more
appropriate-and more sustainable-strategic asset allocation has increased sharply in recent …

We introduce a general and flexible framework for hedge fund performance evaluation and
asset allocation: stochastic dominance (SD) theory. Our approach utilizes statistical tests for …