Hedge funds and higher moment portfolio selection

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorBergh, Gen_ZA
dc.date.accessioned2014-07-31T12:36:59Z
dc.date.available2014-07-31T12:36:59Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationBergh, G. (2005). <i>Hedge funds and higher moment portfolio selection</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/5881en_ZA
dc.identifier.chicagocitationBergh, G. <i>"Hedge funds and higher moment portfolio selection."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2005. http://hdl.handle.net/11427/5881en_ZA
dc.identifier.citationBergh, G. 2005. Hedge funds and higher moment portfolio selection. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Bergh, G AB - 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. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Hedge funds and higher moment portfolio selection TI - Hedge funds and higher moment portfolio selection UR - http://hdl.handle.net/11427/5881 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5881
dc.identifier.vancouvercitationBergh G. Hedge funds and higher moment portfolio selection. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5881en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherManagement Studiesen_ZA
dc.titleHedge funds and higher moment portfolio selectionen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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