scispace - formally typeset
J

José-Antonio Galeano

Publications -  6
Citations -  406

José-Antonio Galeano is an academic researcher. The author has contributed to research in topics: Hedge fund & Portfolio. The author has an hindex of 5, co-authored 6 publications receiving 373 citations.

Papers
More filters
Journal ArticleDOI

Mean-Modified Value-at-Risk Optimization with Hedge Funds

TL;DR: In this article, a modified value-at-risk method is proposed to adjust the risk, measured by volatility alone, with the skewness and the kurtosis of the distribution of returns.
Journal ArticleDOI

An Analysis of Hedge Fund Performance Using Loess Fit Regression

TL;DR: In this article, the authors analyze the returns distribution of hedge funds strategies, the average returns obtained over the past 10 years, and their correlation with a traditional portfolio, and identify the characteristics of each hedge fund investment strategy in order to be able to construct an optimal hedge fund portfolio for a Swiss pension fund.
Posted Content

Portfolio allocation with hedge funds: Case study of a Swiss institutional investor

TL;DR: In this paper, the authors show that computing a portfolio with mean and variance considerably underestimates the risk of the portfolio and develop a method based on a modified Value-at-Risk for non-normally distributed assets.
Journal ArticleDOI

Hedge Funds Allocation: Case Study of a Swiss Institutional Investor

TL;DR: In this article, a modified value-at-risk model for non-normally distributed assets is proposed to show the benefits of investing in hedge funds. But the authors prove that this is not optimal and develop a method based on a modified Value-At-Risk model.