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Hedge funds and higher moment portfolio selection
Recent studies by Amin and Kat (2001) and Lo (2001) show that, notwithstanding the central limit theorem, the returns of several hedge fund indices exhibit distributional characteristics inconsistent with normality. In this context, this study empirically compares the Markowitz (1952) mean-variance...
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| Format: | Thesis |
| Language: | English |
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School of Management Studies
2024
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