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Dynamic Versus Static Optimization of Hedge Fund Portfolios : The Relevance of Performance Measures

Hentati Kaffel, Rania - 2010

This paper analyzes the relevance of a set of some performance measures for optimal portfolios including hedge funds. Four criteria are considered: the Sharpe Ratio, the Returns on VaR and on CVaR, and the Omega performance measure. The results are illustrated by an allocation on several...

Persistent link: https://www.econbiz.de/10013143021

Portfolio Optimization for Hedge Funds Through Time-Varying Coefficients

Dewaele, Benoit - 2013

In this paper, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior. Therefore, forming portfolios based on their...

Persistent link: https://www.econbiz.de/10013090085

Conditioning the information in portfolio optimization

Sala, Carlo; Barone-Adesi, Giovanni - 2015

This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … complete information set thus a fully conditional measure, and what is instead achievable by en econometrician. Searching for …

Persistent link: https://www.econbiz.de/10011506342

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Persistent link: https://www.econbiz.de/10012928166

Replicating Hedge Fund Indices with Optimization Heuristics

Gilli, Manfred - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10013143776

Applying a Global Optimisation Algorithm to Fund of Hedge Funds Portfolio Optimisation

Thapar, Rishi - 2009

approach the goal is to incorporate information as to the future expected outcomes to determine the optimised portfolio rather …

Persistent link: https://www.econbiz.de/10013156987

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Persistent link: https://www.econbiz.de/10003979515

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...

Persistent link: https://www.econbiz.de/10013137970

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Tracking Portfolio Optimization

Khokhlov, Valentyn - 2011

This article introduces a new approach to the tracking portfolio composition. Unlike traditional approaches, it doesn't require benchmark composition to be known and works on any sets of assets. Models presented in the article allow deriving a portfolio composition that results in the optimal...

Persistent link: https://www.econbiz.de/10013123158