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Li, Yang (2011) An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Abstract

This research attempts to investigate the divergences between the Mean-Variance and the Mean-CVaR portfolio optimization methods in examining various assets classes, such as equities, bonds, and especially hedge funds. In order to get a thorough understanding of hedge funds facts and available optimization techniques, relevant literatures are carefully reviewed and incorporated into later stage computer modelling. By constructing three hypothetical portfolios, including traditional assets portfolio, mixed portfolio with hedge fund, and hedge funds portfolio, this research achieves its main purposes and reaches some valuable empirical findings and implications. For instance, the Mean-Variance method may be inappropriate to measure non-normal hedge fund distributions, and hedge funds portfolio has a diminishing return rate with regards to risk variation if measured by the Mean-CVaR optimization approach.

Keywords: portfolio optimization; Mean-Variance; Mean-CVaR; hedge funds

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	25 Apr 2012 14:52
Last Modified:	15 Feb 2018 09:17
URI:	https://eprints.nottingham.ac.uk/id/eprint/24851

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