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All About Hedge Funds, Fully Revised Second Edition, 2nd Edition by Ezra Zask

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CHAPTER 21Modern Portfolio Theory and Efficient Market Hypothesis

This chapter covers some complicated technical subjects in modern portfolio theory and investment management. However, an understanding of these subjects is necessary to understand how investments are managed in a portfolio context. Investors need to consider how hedge funds work with their other investments; to take a portfolio approach to their investments. The central question in this chapter is whether the prevalent methods used in the investment industry for managing investment portfolios lead to portfolios that provide investors with “optimal” or even favorable risk adjusted returns. To anticipate the answer, the evidence is mixed and complicated by the fact that traditional ...

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