Resource type
Thesis type
(Research Project) M.B.A.
Date created
2004
Authors/Contributors
Author: Suppal, Kamal
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.
Document
Copyright statement
Copyright is held by the author.
Scholarly level
Language
English
Member of collection
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