An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches

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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...

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Bibliographic Details
Main Author:	Li, Yang
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/24851/

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