Seeking Fully Investable and Optimized Exposure to Alternative Assets
Philip Boigner and Gregory Gadzinski

How does one construct a portfolio of alternative assets that fulfills the requirements of modern portfolio theory and achieves at least comparative performances to traditional investments? This article explores the problem of optimizing and managing a portfolio composed of diverse alternative asset classes. The authors consider eight different optimizing methodologies based on a universe of hedge funds, private equity, real estate, and exotics. Using both traditional and alternatives indices, the results highlight the importance of including carefully selected alternatives in order to achieve outstanding performance.