Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate....

In this research, we optimized fixed, glide path and dynamic portfolios, aimed at providing a solid pension adjusted for inflation. We optimized these portfolios for two performance functions that take inflation rates into account. We compared the performance of these portfolios in terms of...

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in “silos”. A number of qualitative and quantitative...

Since the financial crisis of 2008 and the recent (end of 2015) pull back, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. In this paper we describe a simple dual-momentum model (called Protective Asset Allocation...

The perception about gold in India has come a long way from the days when its main function was to merely adorn and act as a status symbol. The emotional investment in the metal was so huge that parting with it seemed unthinkable. Consequently, it seldom yielded worthwhile returns. Now, however,...

This report is a brief of the actual research and discusses two ways of asset allocation in Hedge Funds to generate alpha over the fund of hedge funds. The fund of hedge funds have fallen out of favour for investors seeking alternative investments as they have lagged the general market returns....

In this paper, we try to identify the relationship between the ESG scores and stocks' performance and risk measures. Using the ESG database of MSCI, we split the global investment universe into three regions: Europe, North America and Asia-Pacific. The investment universe of each region is...