Composition Funds of Hedge Funds: A Mean-CVAR Allocation With an Option-Based Constraint

Topics:
Investment and Capital Markets
Tags:
Allocation,
Finance,
Financial Services,
HEC Lausanne,
Hedge Fund,
Investment
Source:
HEC Lausanne

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Overview: This paper discusses on the way to do an allocation decision in a fund of hedge funds is a new field of investigation. The allocation process is a succession of two important decisions. It must be discriminated between various hedge funds strategies and between the hedge funds themselves. The problem is that an allocation based solely on mean-variable fails to capture the non-linearity and non-symmetry of returns.

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Format: PDF | Size: 969KB | Date: Nov 2003 | Pages: 128

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