{"id":"https://openalex.org/W2132192571","doi":"https://doi.org/10.1109/allerton.2010.5707074","title":"Dynamic hedge fund asset allocation under multiple regimes","display_name":"Dynamic hedge fund asset allocation under multiple regimes","publication_year":2010,"publication_date":"2010-09-01","ids":{"openalex":"https://openalex.org/W2132192571","doi":"https://doi.org/10.1109/allerton.2010.5707074","mag":"2132192571"},"language":"en","primary_location":{"id":"doi:10.1109/allerton.2010.5707074","is_oa":false,"landing_page_url":"https://doi.org/10.1109/allerton.2010.5707074","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 48th Annual Allerton Conference on Communication, Control, and Computing (Allerton)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://dspace.sunyconnect.suny.edu/bitstreams/fd141e6d-d43e-441d-b751-dabc623e8740/download","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017657606","display_name":"David Cru","orcid":null},"institutions":[{"id":"https://openalex.org/I1327163397","display_name":"State University of New York","ror":"https://ror.org/01q1z8k08","country_code":"US","type":"education","lineage":["https://openalex.org/I1327163397"]},{"id":"https://openalex.org/I59553526","display_name":"Stony Brook University","ror":"https://ror.org/05qghxh33","country_code":"US","type":"education","lineage":["https://openalex.org/I59553526"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"David Cru","raw_affiliation_strings":["Department of Applied Mathematics and Statistics, State University of New York, Stony Brook, NY, USA","Department of Applied Mathematics and Statistics, State University of New York, Stony Brook 11794, USA"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Statistics, State University of New York, Stony Brook, NY, USA","institution_ids":["https://openalex.org/I1327163397","https://openalex.org/I59553526"]},{"raw_affiliation_string":"Department of Applied Mathematics and Statistics, State University of New York, Stony Brook 11794, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088820331","display_name":"Jiaqiao Hu","orcid":"https://orcid.org/0000-0002-9999-672X"},"institutions":[{"id":"https://openalex.org/I1327163397","display_name":"State University of New York","ror":"https://ror.org/01q1z8k08","country_code":"US","type":"education","lineage":["https://openalex.org/I1327163397"]},{"id":"https://openalex.org/I59553526","display_name":"Stony Brook University","ror":"https://ror.org/05qghxh33","country_code":"US","type":"education","lineage":["https://openalex.org/I59553526"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jiaqiao Hu","raw_affiliation_strings":["Department of Applied Mathematics and Statistics, State University of New York, Stony Brook, NY, USA","Department of Applied Mathematics and Statistics, State University of New York, Stony Brook 11794, USA"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Statistics, State University of New York, Stony Brook, NY, USA","institution_ids":["https://openalex.org/I1327163397","https://openalex.org/I59553526"]},{"raw_affiliation_string":"Department of Applied Mathematics and Statistics, State University of New York, Stony Brook 11794, USA","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5017657606"],"corresponding_institution_ids":["https://openalex.org/I1327163397","https://openalex.org/I59553526"],"apc_list":null,"apc_paid":null,"fwci":0.3847,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.73260802,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"1376","last_page":"1383"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7101876139640808},{"id":"https://openalex.org/keywords/hedge-fund","display_name":"Hedge fund","score":0.6396780014038086},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.49515166878700256},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4936726987361908},{"id":"https://openalex.org/keywords/kurtosis","display_name":"Kurtosis","score":0.47461405396461487},{"id":"https://openalex.org/keywords/returns-based-style-analysis","display_name":"Returns-based style analysis","score":0.4156554043292999},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4151401221752167},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.36788684129714966},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.36157387495040894},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.35436609387397766},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.32473480701446533},{"id":"https://openalex.org/keywords/fund-of-funds","display_name":"Fund of funds","score":0.31751638650894165},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.265585720539093},{"id":"https://openalex.org/keywords/fund-administration","display_name":"Fund administration","score":0.17661169171333313},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.12310373783111572},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.08719635009765625}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7101876139640808},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.6396780014038086},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.49515166878700256},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4936726987361908},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.47461405396461487},{"id":"https://openalex.org/C40331085","wikidata":"https://www.wikidata.org/wiki/Q17082595","display_name":"Returns-based style analysis","level":5,"score":0.4156554043292999},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4151401221752167},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36788684129714966},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36157387495040894},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.35436609387397766},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.32473480701446533},{"id":"https://openalex.org/C34375142","wikidata":"https://www.wikidata.org/wiki/Q1156684","display_name":"Fund of funds","level":3,"score":0.31751638650894165},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.265585720539093},{"id":"https://openalex.org/C55286048","wikidata":"https://www.wikidata.org/wiki/Q5508875","display_name":"Fund administration","level":4,"score":0.17661169171333313},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.12310373783111572},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.08719635009765625},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1109/allerton.2010.5707074","is_oa":false,"landing_page_url":"https://doi.org/10.1109/allerton.2010.5707074","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 48th Annual Allerton Conference on Communication, Control, and Computing (Allerton)","raw_type":"proceedings-article"},{"id":"pmh:oai:dspace.sunyconnect.suny.edu:1951/55401","is_oa":true,"landing_page_url":"http://hdl.handle.net/1951/55401","pdf_url":"https://dspace.sunyconnect.suny.edu/bitstreams/fd141e6d-d43e-441d-b751-dabc623e8740/download","source":{"id":"https://openalex.org/S4306400078","display_name":"SUNY Digital Repository Support (State University of New York System)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I63190737","host_organization_name":"University at Buffalo, State University of New York","host_organization_lineage":["https://openalex.org/I63190737"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Dissertation"},{"id":"pmh:oai:commons.library.stonybrook.edu:stony-brook-theses-and-dissertations-collection-1177","is_oa":false,"landing_page_url":"https://commons.library.stonybrook.edu/stony-brook-theses-and-dissertations-collection/178","pdf_url":null,"source":{"id":"https://openalex.org/S4377196674","display_name":"Academic Commons (Stony Brook University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I59553526","host_organization_name":"Stony Brook University","host_organization_lineage":["https://openalex.org/I59553526"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Stony Brook Theses and Dissertations Collection, 2006-2020 (closed to submissions)","raw_type":"text"},{"id":"pmh:oai:pqdtoai.proquest.com:3408342","is_oa":false,"landing_page_url":"http://pqdtopen.proquest.com/#viewpdf?dispub=3408342","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"thesis"}],"best_oa_location":{"id":"pmh:oai:dspace.sunyconnect.suny.edu:1951/55401","is_oa":true,"landing_page_url":"http://hdl.handle.net/1951/55401","pdf_url":"https://dspace.sunyconnect.suny.edu/bitstreams/fd141e6d-d43e-441d-b751-dabc623e8740/download","source":{"id":"https://openalex.org/S4306400078","display_name":"SUNY Digital Repository Support (State University of New York System)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I63190737","host_organization_name":"University at Buffalo, State University of New York","host_organization_lineage":["https://openalex.org/I63190737"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Dissertation"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2132192571.pdf","grobid_xml":"https://content.openalex.org/works/W2132192571.grobid-xml"},"referenced_works_count":16,"referenced_works":["https://openalex.org/W629155545","https://openalex.org/W1579271636","https://openalex.org/W1984697146","https://openalex.org/W2015856032","https://openalex.org/W2046702674","https://openalex.org/W2074812030","https://openalex.org/W2076337359","https://openalex.org/W2098432798","https://openalex.org/W2146376321","https://openalex.org/W2168359464","https://openalex.org/W2313727555","https://openalex.org/W2488678869","https://openalex.org/W2795413297","https://openalex.org/W3125242883","https://openalex.org/W4214518347","https://openalex.org/W7023871242"],"related_works":["https://openalex.org/W2480635628","https://openalex.org/W2741019880","https://openalex.org/W4205615794","https://openalex.org/W2329211247","https://openalex.org/W3033718356","https://openalex.org/W1908596097","https://openalex.org/W3126060244","https://openalex.org/W1609067703","https://openalex.org/W1534918704","https://openalex.org/W2118320195"],"abstract_inverted_index":{"Portfolio":[0,12],"Selection":[1],"as":[2,133],"introduced":[3],"by":[4],"Harry":[5],"Markowitz":[6],"laid":[7],"the":[8,15,39,44,60,74,98,113,127],"foundation":[9],"for":[10,38,62,92],"Modern":[11],"Theory.":[13],"However,":[14],"assumption":[16],"that":[17,26,146],"underlying":[18],"asset":[19,116],"returns":[20],"follow":[21],"a":[22,82,90,120,134,148],"normal":[23],"distribution":[24,118],"and":[25,32,46,58,106,141,158],"investors":[27],"are":[28,68],"indifferent":[29],"to":[30,97,119],"skew":[31],"kurtosis":[33],"is":[34,89],"not":[35],"practically":[36],"suited":[37],"hedge":[40,51,102,114,129,153],"fund":[41,52,103,115,130,154],"environment.":[42],"Additionally,":[43],"lockup":[45],"notice":[47],"provisions":[48],"built":[49],"into":[50],"contracts":[53],"make":[54],"portfolio":[55,104,160],"rebalancing":[56,71,144],"difficult":[57],"justify":[59],"need":[61,91],"dynamic":[63,159],"allocation":[64,131],"strategies.":[65],"Market":[66],"conditions":[67],"dynamic,":[69],"therefore,":[70],"constraints":[72],"in":[73],"face":[75],"of":[76,101,150],"changing":[77],"market":[78],"environments":[79],"can":[80],"have":[81],"severe":[83],"impact":[84],"on":[85,152],"return":[86,117],"generation.":[87],"There":[88],"sophisticated":[93],"yet":[94],"tractable":[95],"solutions":[96],"multi-period":[99,128],"problem":[100,132],"construction":[105],"rebalancing.":[107],"In":[108],"this":[109],"paper,":[110],"we":[111],"generalize":[112],"multivariate":[121],"K-mean":[122],"Gaussian":[123],"mixture":[124],"distribution;":[125],"model":[126],"Partially":[135],"Observable":[136],"Markov":[137],"Decision":[138],"Process":[139],"(POMDP);":[140],"propose":[142],"practical":[143],"strategies":[145],"represent":[147],"convergence":[149],"literature":[151],"investing,":[155],"regime":[156],"switching,":[157],"optimization.":[161]},"counts_by_year":[{"year":2013,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
