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Hedge Fund Investment: Optimal Portfolios with Regime-Switching.

We investigate the benefits of including hedge funds into a portfolio of stocks, bonds, and commodities. We use a multivariate canonical vine copula regime-switching model which allows for non-linearity, asymmetry, and time variation in hedge fund returns. We find that the willingness to pay to acce...

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Published in:Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 41
Main Authors: Heinen, Andréas, Valdesogo, Alfonso
Format: Article
Published: Oxford University Press / USA 2026
Subjects:
Risk aversion
Portfolio management (Investments)
Asset allocation
Investment pools
Markov processes
Statistical models
Investment policy
Market volatility
Online Access:View this record in EBSCOhost

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