In this paper we analyze the contribution of hedge funds in optimal asset allocations for different investor clienteles. The preferences of specific institutional investors are captured by implementing a Bayesian asset allocation framework that incorporates heterogeneous expectations regarding...

Recently, a large body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard Bayesian methods applied to hedge fund evaluation. Little...

International mutual funds attract trillions of dollars and millions of domestic investors. Therefore, it's only natural that performance evaluation of this type mutual fund is becoming a common researched topic in finance. The purpose of this prospective working paper is to lay the ground for a...

Among the 5,000 equity mutual funds in the world, more than 80 percent belong to some fund family. A fund family is a group of mutual funds supervised by the same investment group. Despite the prevalence of the family organization, previous literature, when evaluating mutual fund performance,...

Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...