Dynamic hedge fund portfolio construction

DSpace/Manakin Repository

Open Research Exeter (ORE)

Dynamic hedge fund portfolio construction

Show simple item record

dc.contributor.author Harris, Richard D. F. en_GB
dc.contributor.author Mazibas, Murat en_GB
dc.date.accessioned 2010-04-13T15:22:07Z en_GB
dc.date.accessioned 2011-01-25T10:28:18Z en_US
dc.date.accessioned 2013-03-20T11:09:33Z
dc.date.issued 2009-11 en_GB
dc.description.abstract In this paper, we provide further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and portfolio allocation, using monthly hedge fund index return data for the period 1990 to 2009. Building on Giamouridis and Vrontos (2007), we consider a broad set of multivariate GARCH models as well as the simpler exponentially weighted moving average (EWMA) estimator of RiskMetrics (1996). We find that while multivariate GARCH models provide some improvement in portfolio performance over static models, they are generally dominated by the EWMA model. In particular, in addition to providing better risk-adjusted performance, the EWMA model leads to dynamic allocation strategies that have substantially lower turnover and could therefore be expected to involve lower transaction costs. Moreover, we show that these results are robust across low-volatility and high-volatility sub-periods. en_GB
dc.identifier.uri http://hdl.handle.net/10036/96440 en_GB
dc.language.iso en en_GB
dc.publisher University of Exeter Business School en_GB
dc.relation.ispartofseries Xfi Centre for Finance and Investment working papers en_GB
dc.relation.ispartofseries 09/07 en_GB
dc.relation.url http://xfi.exeter.ac.uk/workingpapers/0907.pdf en_GB
dc.subject hedge fund returns en_GB
dc.subject funds of funds en_GB
dc.subject multivariate conditional volatility en_GB
dc.subject portfolio optimisation en_GB
dc.title Dynamic hedge fund portfolio construction en_GB
dc.type Working Paper en_GB
dc.date.available 2010-04-13T15:22:07Z en_GB
dc.date.available 2011-01-25T10:28:18Z en_US
dc.date.available 2013-03-20T11:09:33Z
dc.identifier.issn 1743-548X en_GB
dc.description Working paper en_GB


Files in this item

Files Size Format View
0907.pdf 222.2Kb PDF Thumbnail

This item appears in the following Collection(s)

Show simple item record

Browse

My Account

Local Links