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. If a mean-variance optimization model suggests significant allocation to...

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...

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 undr which optimal portfolios for these utilities are mean-variance efficient...

We consider portfolio allocation in which the underlying investment instruments are hedge funds. Benchmarks and conditional-value-at-risk motivate a family of utility functions involving the probability of outperforming a benchmark and expected shortfall from another benchmark. Non-normal return...