Since hedge fund returns are not normally distributed, mean-variance optimisation techniques, which would lead to substantial welfare losses from the investor’s perspective, need to be replaced by optimisation procedures incorporating higher-order moments and comoments.
Junior researcher at the University of Milano - Bicocca (Italy).
Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.
Holds the chair of Mathematical Finance at the University of Milano - Bicocca.
|Extra information :||For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ email@example.com ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.|
|Research Cluster :||Finance|