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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Publicado en:	Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 41
Autores principales:	Heinen, Andréas, Valdesogo, Alfonso
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Risk aversion Portfolio management (Investments) Asset allocation Investment pools Markov processes Statistical models Investment policy Market volatility
Acceso en línea:	Ver este registro en EBSCOhost