Optimal Hedge Fund Allocation with Asymmetric Preferences and Distributions

The Sharpe Ratio

William F. Sharpe · The Journal of Portfolio Management · 1994 · 2.5K citations

Business, Finance, Financial Management +9

Monte Carlo bounding techniques for determining solution quality in stochastic programs

Wai-Kei Mak, David P. Morton, R. Kevin Wood · Operations Research Letters · 1999 · 718 citations

Business, Computer Science, Mathematics +14

The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

Chris Brooks, Harry M. Kat · The Journal of Alternative Investments · 2002 · 441 citations

Business, Economics, Finance +16

A Minimax Portfolio Selection Rule with Linear Programming Solution

Martin R. Young · Management Science · 1998 · 410 citations

Business, Finance, Financial Management +17

Risk Management for Hedge Funds: Introduction and Overview

Andrew W. Lo · Financial Analysts Journal · 2001 · 360 citations

Business, Finance, Risk Management +17