This article examines the portfolio optimization of hedge funds in the downside risk framework in order to take into account the asymmetry of returns and the behavior of investors towards the risk which are not captured by the mean-variance model. By using the Credit Suisse/Tremont Hedge Fund...

We showed in this article that the new mean-semivariance model for portfolio optimization makes it possible to overcome the drawbacks of the mean-variance model concerning the asymmetry of returns and the risk perception of investors. We also showed that this new mean-semivariance model permits...

The purpose of this paper is to extend the capital asset pricing models in the downside risk framework to hedge funds universe in order to take into account the asymmetry of returns of these funds and the risk perception of investors. The empirical evidence based on Credit Suisse/Tremont Hedge...

The purpose of this article is twofold. First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and traditional performance measures respectively. Second, we develop two new performance measures in the...

We showed that traditional performance measures are not adequate for the performance evaluation of hedge funds portfolios because they take into account neither the asymmetry of returns nor the risk perception of investors. In order to overcome this problem, we made recourse to performance...