Hedge funds and higher moment portfolio selection
type: CreativeWork
description: This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
abstract: This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
author: Bergh, G
language: eng
date published: 2005
date modified: 2026-07-22T22:22:57Z
provider: University of Cape Town
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: School of Management Studies

PropertyValue
property ID: Handle
value: http://hdl.handle.net/11427/5881