کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091609 1375693 2006 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient fund of hedge funds construction under downside risk measures
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Efficient fund of hedge funds construction under downside risk measures
چکیده انگلیسی
We consider portfolio allocation in which the underlying investment instruments are hedge funds. We consider a family of utility functions involving the probability of outperforming a benchmark and expected regret relative to another benchmark. Non-normal return vectors with prescribed marginal distributions and correlation structure are modeled and simulated using the normal-to-anything method. A Monte Carlo procedure is used to obtain, and establish the quality of, a solution to the associated portfolio optimization model. Computational results are presented on a problem in which we construct a fund of 13 CSFB/Tremont hedge-fund indices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 503-518
نویسندگان
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