Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in "The Journal of Alternative Investments", Vol.10-3, 7-29, Winter 2007. )
This paper studies portfolio selection and performance analysis of hedge funds located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into asset class factors. Finally, portfolio optimizations and performance analyses are integrated to show how these methods are utilized in practice.
Year of publication: |
2006-09
|
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Authors: | Hakamada, Takeshi ; Takahashi, Akihiko ; Yamamoto, Kyo |
Institutions: | Center for Advanced Research in Finance, Faculty of Economics |
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