Thapar, Rishi; Minsky, Bernard; Obradovic, M; Tang, Qi - Volkswirtschaftliche Fakultät, … - 2009
Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation...