The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

In this paper, we evaluate alternative optimization frameworks for constructing portfolios of hedge funds. Using monthly hedge fund index returns for the period 1990 to 2011, we compare the standard mean-variance optimization model with models based on CVaR, CDaR and Omega, for both conservative...

In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

In this paper, we develop a component Markov switching conditional volatility model based on the intraday range and evaluate its performance in forecasting the weekly volatility of the S&P 500 index. We compare the performance of the range-based Markov switching model with that of a number of...