Hedge funds and higher moment portfolio selection

Master Thesis

2005

Permanent link to this Item
http://hdl.handle.net/11427/5881
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thesis_com_2005_bergh_g.pdf (9.81 MB)
Authors
Bergh, G
Supervisors
Van Rensburg, Paul
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Publisher

University of Cape Town

Department
School of Management Studies
Faculty
Faculty of Commerce
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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.

Keywords
Management Studies

Reference:

Bergh, G. 2005. Hedge funds and higher moment portfolio selection. University of Cape Town.

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Masters