Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this end, they introduce suitably designed measures of the contribution of various hedge fund strategies to the risk in an existing stock/bond portfolio, and use them in the context of optimal selection of hedge fund strategies from an investor's standpoint
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