Jan-Hein Cremers

State Street Associates

Vice President

138 Mount Auburn Street

Cambridge, MA 02138

United States

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Optimal Hedge Fund Allocations: Do Higher Moments Matter?

Revere Street Working Paper No. 272-13
Number of pages: 23 Posted: 10 Sep 2004
Jan-Hein Cremers, Mark Kritzman and Sebastien Page
State Street Associates, Windham Capital Management and State Street Associates
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Citation 18

Abstract:

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Hedge fund, hedge funds, optimization, portfolio, optimisation, skewness, kurtosis, higher moments, mean-variance, Markowitz, utility, behavioral finance, prospect theory, s-shaped, bilinear utility, convertible arbitrage, event driven, merger arbitrage, equity hedge, full-scale optimization, risk