"Selection and Performance Analysis of Asia-Pacific Hedge Funds"
This paper studies portfolio selection and performance analysis of hedge funds whose locations or investment targets are Asia-Pacific region. Utilizing Eurekahedge database, we investigate the characteristics of the funds' returns and optimization methods to create a fund of funds. Moreover, we decompose the returns of the hedge funds into risk factors which are observable in financial markets such as stock indices. Then, we attempt to manage a fund of funds by applicating those analyses.
Year of publication: |
2006-09
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Authors: | Hakamada, Takeshi ; Takahashi, Akihiko ; Yamamoto, Kyo |
Institutions: | Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics |
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