Constructing Multi-Strategy Fund of Hedge Funds

Author: 
Date created: 
2004
Abstract: 

This paper aims to develop a systematic allocation methodology to combine multi-strategy hedge funds within a structure of fund of funds in a risk-controlled manner. This is particularly important since the traditional mean-variance optimization proves ineffective in addressing hedge fund return distributions that are asymmetric in nature. Moreover, unstable correlations among various hedge fund strategies also pose a challenge to a meaningful optimization to combine various hedge fund strategies. This paper attempts to suggest some practical ways to overcome both these obstacles.

Description: 
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Language: 
English
Document type: 
Thesis
Rights: 
Copyright remains with the author
File(s): 
Department: 
Faculty of Business Administration - Simon Fraser University
Thesis type: 
Research Project (M.B.A.)
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