Considering Tail Events in Hedge Fund Portfolio Optimization
The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Linköpings universitet, Produktionsekonomi
2021
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177375 |