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Gains from Adding Funds of Hedge Funds to Portfolios of Traditional Assets: An International Perspective
Stockholm University.
Stockholm University.
Mälardalen University, Department of Mathematics and Physics.
2005 (English)In: FUNDS OF HEDGE FUNDS: Performance, Assessment, Diversification, and Statistical Properties, BUTTERWORTH HEINEMANN , 2005, p. 171-187Chapter in book (Other academic)
Abstract [en]

We investigate the certainty-equivalent wealth gain from adding funds of hedge funds to portfolios of traditional assets for investors in G7 countries. The allows us to incorporate the effect of currency exposure and different proxies of equity performance. We find that for many investors, access to funds of hedge funds is as valuable as access to international equity markets. Difference between investors in different countries are documented. These differences are due to the relative performance of the different equity markets as well as the fact that hedge fund exposure contains currency exposure that vigilant investors should take care in hedging to reduce unnecessary volatility.

Place, publisher, year, edition, pages
BUTTERWORTH HEINEMANN , 2005. p. 171-187
Keyword [en]
Hedge funds, Asset allocation, funds of hedge funds, portfolio theory, optimization
National Category
Computational Mathematics Economics and Business
Identifiers
URN: urn:nbn:se:mdh:diva-3409DOI: 10.1016/B978-075067984-8.50014-6Scopus ID: 2-s2.0-84882506751ISBN: 978-0-7506-7984-8 (print)OAI: oai:DiVA.org:mdh-3409DiVA, id: diva2:116073
Available from: 2007-04-27 Created: 2007-04-27 Last updated: 2016-05-17Bibliographically approved

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CiteExportLink to record
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