A heuristic approach to Asian hedge fund allocation

Fang, Victor, Phoon, Kok Fai and Xiang, Vincent Yi Ding 2008, A heuristic approach to Asian hedge fund allocation, Journal of wealth management, vol. 10, no. 4, Spring, pp. 42-52.

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Title A heuristic approach to Asian hedge fund allocation
Author(s) Fang, Victor
Phoon, Kok Fai
Xiang, Vincent Yi Ding
Journal name Journal of wealth management
Volume number 10
Issue number 4
Season Spring
Start page 42
End page 52
Total pages 11
Publisher Institutional Investor, Journals
Place of publication New York, N. Y.
Publication date 2008
ISSN 1534-7524
Summary The article offers information about hedge funds, which refers to pooled investments that are privately organized and professionally managed by investment managers. It examines the statistical properties of the 70 Asian hedge funds and shows the inappropriateness of the traditional mean-variance optimizer to form optimal hedge fund portfolios. The article also introduces a practical heuristic approach using the senti-variance as a measure for downside risk, and describes the risk measures and the methodology to generate optimal hedge fund portfolio.
Language eng
Field of Research 159999 - Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 - Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042541

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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