Hedge funds and higher moment portfolio selection

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.

Grantor dc:publisher.institution

School of Management Studies

Year dc:date.issued

2005

Author dc:creator

• Bergh, G

Advisor dc:contributor.advisor

• Van Rensburg, Paul

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5881

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5881