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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.

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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.
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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.
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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.
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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.