This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...

We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...

We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...

We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-varianceskewness frontier in closed form, and show that it...

This paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share...

The paper compares various processes subordinated to the Wiener process to model the leptokurtic characteristics of index returns. Empirical analysis is performed on the Dow Jones and Nikkei 225 indexes. A good model to capture the typical tail behaviour of these indexes turns out to be a long...