Robust optimization searches for recommendations that are relatively immune to anticipated uncertainty in the problem parameters. Stochasticities are addressed via a set of discrete scenarios. This paper presents applications in which the traditional stochastic linear program fails to identify a...

Hedge funds have gained popularity for increasing investment returns. We focus on the role of this asset category for long-term investors, with attention to rebalancing a portfolio of diversified assets. An investor must seek out securities with low correlations to traditional assets to maximize...

When levered exchange products were first introduced, they were heralded as a convenient mechanism for investors to achieve a better result than with more traditional borrowing and leveraging trategies. This article shows that rebalancing decisions have a major impact on the performance of...