An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches
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 availa...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/24851/ |
| _version_ | 1848792870178258944 |
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| author | Li, Yang |
| author_facet | Li, Yang |
| author_sort | Li, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 |
| first_indexed | 2025-11-14T18:51:16Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-24851 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:51:16Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-248512018-02-15T09:17:40Z https://eprints.nottingham.ac.uk/24851/ An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches Li, Yang 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 2011-09-10 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/24851/1/Li_Yang.pdf Li, Yang (2011) An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Li, Yang An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title | An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title_full | An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title_fullStr | An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title_full_unstemmed | An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title_short | An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches |
| title_sort | empirical study on hedge fund portfolio optimization, mean-risk based approaches |
| url | https://eprints.nottingham.ac.uk/24851/ |