全部版块 我的主页
论坛 金融投资论坛 六区 金融学(理论版)
1457 0
2012-07-14
         This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection. Using data from CSFB-Tremont hedge fund indices, we …nd that ex-post volatility of minimum variance portfolios generated using implicit factor based estimation techniques is between 1.5 and 6 times lower than that of a value-weighted benchmark, such di¤erences being both economically and statistically signi…cant. This strongly indicates that optimal inclusion of hedge funds in an investor portfolio can potentially generate a dramatic decrease in the portfolio volatility on an out-of-sample basis. Di¤erences in mean returns, on the other hand, are not statistically signi…cant, suggesting that the improvement in terms of risk control does not necessarily come at the cost of lower expected returns.
附件列表

Portfolio Optimization and Hedge Fund Style Allocation Decisions.pdf

大小:270.05 KB

只需: 10 个论坛币  马上下载

组合最优化与对冲基金配置决策风格

二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

相关推荐
栏目导航
热门文章
推荐文章

说点什么

分享

扫码加好友,拉您进群
各岗位、行业、专业交流群