Risk Management for Hedge Fund Portfolios
A Comparative Analysis of Linear Rebalancing StrategiesPavlo Krokhmal , Stanislav Uryasev , and Grigory Zrazhevsky
The Journal of Alternative Investments Summer 2002, Vol. 5, No. 1: pp. 10-29
DOI: 10.3905/jai.2002.319040
http://www.iijournals.com/doi/abs/10.3905/jai.2002.319040