This paper analyzes the relevance of a set of some performance measures for optimal portfolios including hedge funds. Four criteria are considered: the Sharpe Ratio, the Returns on VaR and on CVaR, and the Omega performance measure. The results are illustrated by an allocation on several...

Purpose – The purpose of this chapter is to estimate non-Gaussian distributions by means of Johnson distributions. An empirical illustration on hedge fund returns is detailed. Methodology/approach – To fit non-Gaussian distributions, the chapter introduces the family of Johnson distributions...

Purpose – In this chapter, copula theory is used to model dependence structure between hedge fund returns series. Methodology/approach – Goodness-of-fit tests, based on the Kendall's functions, are applied as selection criteria of the “best” copula. After estimating the parametric copula...