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Altevo Research Accounting for Higher Moment Betas in Asset – Liability Management: Finding the Optimal Equity Diversifier

In this paper we utilize higher moment betas to identify suitable equity diversifiers for the  equity  part  of  a  traditional  bond‐  and  equity  portfolio.  With  a  Modified  VaR optimization program put  into an Asset – Liability Management  framework we  show that an allocation to hedge funds can reduce the down side risk  in the portfolio and at the same time improve returns.