We Consider Four Utility Functions, Each Of Which Incorporates A Benchmark To Better Capture The Motivations Of Today's Portfolio Managers. Assuming Instrument Returns Are Normally Distributed, We Establish Conditions Under Which Optimal Portfolios For These Utilities Are Mean-Variance Efficient...

This research is designed to help quantify one of the "slippages" which are often recognized in quant strategies. The idea is that whenever the actual executed prices are away (both time and size) from the model prices, the realized returns will suffer. The slippage for a particular statistical...

Hedge funds typically have non-normal return distributions marked by significant positive or negative skewness and high kurtosis. Mean-variance optimization models ignore these higher moments of the return distribution, and thus fail to convince investors who care about the unwanted skewness and...