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A heuristic approach to Asian hedge fund allocation
journal contributionposted on 2008-01-01, 00:00 authored by Victor Fang, K Phoon, V Xiang
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.