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Optimal Hedge Fund Allocation

https://doi.org/10.2139/ssrn.4987003
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Quality minus junk
inferredcites →https://doi.org/10.1016/j.finmar.2016.06.002openalex-snapshot
The total benefit of alternative assets to pension fund portfolios
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.001openalex-snapshot
An econometric model of serial correlation and illiquidity in hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2011.01.003openalex-snapshot
Higher risk, lower returns: What hedge fund investors really earn☆
inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-snapshot
Betting against beta
inferredcites →https://doi.org/10.1016/j.jfineco.2017.06.006openalex-snapshot
Tail risk in hedge funds: A unique view from portfolio holdings
inferredcites →https://doi.org/10.1017/s0022109012000634openalex-snapshot
Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study
inferredcites →https://doi.org/10.1017/s0022109013000112openalex-snapshot
Zero-R2Hedge Funds and Market Neutrality
inferredcites →https://doi.org/10.1017/s0022109018001333openalex-snapshot
The Effect of Investment Constraints on Hedge Fund Investor Returns
inferredcites →https://doi.org/10.1080/0015198x.2021.1921564openalex-snapshot
Hedge Fund Performance: End of an Era?
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/14.2.313openalex-snapshot
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
inferredcites →https://doi.org/10.1093/rfs/hhab107openalex-snapshot
Crowded Trades and Tail Risk
inferredcites →https://doi.org/10.1093/rfs/hhg044openalex-snapshot
Risks and Portfolio Decisions Involving Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/hhu040openalex-snapshot
Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
inferredcites →https://doi.org/10.1093/rfs/hhv031openalex-snapshot
Why Are University Endowments Large and Risky?
inferredcites →https://doi.org/10.1093/rfs/hhz024openalex-snapshot
The Fix Is In: Properly Backing out Backfill Bias
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03859.xopenalex-snapshot
Mean-Variance Versus Direct Utility Maximization
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01374.xopenalex-snapshot
Hedge Funds: Performance, Risk, and Capital Formation
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01455.xopenalex-snapshot
Hedge Fund Risk Dynamics: Implications for Performance Appraisal
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01528.xopenalex-snapshot
Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation
inferredcites →https://doi.org/10.1111/jofi.12008openalex-snapshot
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
inferredcites →https://doi.org/10.1111/jofi.13026openalex-snapshot
Asset Managers: Institutional Performance and Factor Exposures
inferredcites →https://doi.org/10.1257/jep.22.3.207openalex-snapshot
Secrets of the Academy: The Drivers of University Endowment Success
inferredcites →https://doi.org/10.1287/mnsc.1120.1689openalex-snapshot
Do Hedge Funds Outperform Stocks and Bonds?
inferredcites →https://doi.org/10.1287/mnsc.2014.1986openalex-snapshot
Portfolio Choice with Illiquid Assets
inferredcites →https://doi.org/10.1561/104.00000104openalex-snapshot
Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?
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