Download Funds of Hedge Funds: Performance, Assessment, by Greg N. Gregoriou PDF

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By Greg N. Gregoriou

With approximately $450 billion in resources, cash of hedge money are the newest darling of traders. whereas hedge cash hold excessive probability for the promise of excessive returns they're designed for the very wealthy and for giant institutional traders akin to pension money. A Fund of Hedge money (FOF) spreads investments between a few hedge money to lessen possibility and supply diversification, whereas conserving the possibility of greater than ordinary returns. Odds are that a few pension fund of yours is invested seriously in those items, and extra lately those FOFs were opened to increasingly more person traders in offshore jurisdictions with decrease minimal access degrees. considering the fact that this can be a new and very fast-moving monetary phenomenon, educational examine has simply began in earnest, and this can be the 1st publication to give rigorous educational examine via many of the prime lighting in educational finance, conscientiously examining the large array of concerns curious about FOFs. * With over $450 billion in resources, hedge money of money are the darling of traders* First publication to give rigorous educational examine approximately cash of money * top lighting in educational finance from around the globe research the vast array of concerns keen on cash of cash

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Additional info for Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties (Quantitative Finance)

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9 Conclusion Despite the modeling complexity caused by data biases, noisy correlation, inaccurate alphas, and institutional limitations to trading, there is no doubt that alternative investments continue to present attractive opportunities. Their popularity among institutional investors is increasing, and the industry requires more academic studies on optimization of funds of hedge funds. This chapter represents one such study. Aiming to develop a fund selection and optimal allocation process for funds of hedge funds, we have analyzed the out-of-sample performance of portfolio construction models that target alpha through fund selection based on ranking alpha from factor models.

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Spurious Biases. Journal of Financial and Quantitative Analysis, 35(3):291–307. Growing pains. The Economist (March 2, 2006), pp. 77–79, http://www. story_id=5572597. Indjic, D. (2003). Hedge Fund Strategy Classification: AIMA Survey and Analysis of Commercial Classifications. org. Jagannathan, R. and Ma, T. (2003). Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance, 58(4):1651–1683. Rank alpha funds of hedge funds 25 Jorion, P. (1985). International Portfolio Diversification with Estimation Risk.

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