The standard mean-variance approach can imply extreme weights in some assets in the optimal allocation and a lack of stability of this allocation over time. To improve the robustness of the portfolio allocation, but also to better control for the portfolio turnover and the sensitivity of the...

Most of hedge funds databases are now keeping history of dead funds in order to control biases in empirical analysis. It is then possible to use these data for the analysis of hedge funds lifetimes and survivorship. This paper proposes two nonparametric speci fications of duration models. First,...

Is it really possible to control for the downside risk when the market environment is in constant evolution? If so, what would be the long-term growth prospects of such a strategy? We show in this article that when the dynamics of the variance and correlation terms are properly taken into...