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.
- © 2007 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600