Hedge funds and higher moment portfolio selection

Master Thesis

2005

Permanent link to this Item
Authors
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher

University of Cape Town

License
Series
Abstract
This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
Description

Includes bibliographical references.

Reference:

Collections