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Strategic Asset Allocation and the Role of Alternative Investments

  • Published:2012-03-19 Issue:3 Volume:20 Page:521-547
  • ISSN:1354-7798
  • Container-title:European Financial Management
  • language:en
  • Short-container-title:Eur Financial Management

Author:

Cumming Douglas1,Helge Haß Lars2,Schweizer Denis3

Affiliation:

1. York University - Schulich School of Business; 4700 Keele Street, Toronto Ontario M3J 1P3 Canada

2. Lancaster University Management School; Lancaster University; Lancaster LA1 4YX UK

3. WHU - Otto Beisheim School of Management; Assistant Professor of Alternative Investments; Burgplatz 2 56179 Vallendar Germany

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Accounting

Reference83 articles.

1. The performance of hedge funds: risk, return, and incentives;Ackermann;Journal of Finance,1999

2. Risk and portfolio decisions involving hedge funds;Agarwal;Review of Financial Studies,2004

3. Alexander C. Option pricing with normal mixture returns ISMA Centre research paper 2001

4. Normal mixture diffusion with uncertain volatility: modeling short- and long-term smile effects;Alexander;Journal of Banking & Finance,2004

5. Bivariate normal mixture spread option valuation;Alexander;Quantitative Finance,2003

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