2009
DOI: 10.1057/jdhf.2009.1
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Fund of hedge funds portfolio selection: A multiple-objective approach

Abstract: is an Associate at UBS (London). She is a Structurer in the Fund Derivatives Structuring team. Her research is on the detailed characterisation of hedge fund portfolio returns and optimisation within a mean-variance-skewnesskurtosis framework.Correspondence: Ryan J. Davies, Finance Division, Babson College, 224 Tomasso Hall, Babson Park, MA 02457-0310, USA E-mail: rdavies@babson.edu PRACTICAL APPLICATIONS Hedge funds exhibit complex, non-normal return distributions. In this context, it is difficult for investo… Show more

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Cited by 82 publications
(51 citation statements)
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References 26 publications
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“…Amin and Kat (2003) discuss the issues arising in mean-variance allocation when the distribution of asset returns is not symmetric. Popova et al (2003), Hagelin and Pramborg (2003), and Davies et al (2005) deal with these issues by employing higher moment analysis. McFall Lamm (2003) also addresses asymmetry and fat-tailness in the returns distributions with Duarte's (1999) generalized approach.…”
Section: Optimal Hedge Fund Portfoliosmentioning
confidence: 99%
“…Amin and Kat (2003) discuss the issues arising in mean-variance allocation when the distribution of asset returns is not symmetric. Popova et al (2003), Hagelin and Pramborg (2003), and Davies et al (2005) deal with these issues by employing higher moment analysis. McFall Lamm (2003) also addresses asymmetry and fat-tailness in the returns distributions with Duarte's (1999) generalized approach.…”
Section: Optimal Hedge Fund Portfoliosmentioning
confidence: 99%
“…Davies, Kat, and Lu (2009) provide a financial application of the Polynomial Goal Programing (PGP) approach. This concept generalizes the objectives of a risk averse investor of maximizing the portfolio expected return while minimizing the portfolio variance and can be extended to any number of moments.…”
Section: Introductionmentioning
confidence: 99%
“…In their paper and PGP model, Lucey et al [24] show the changes in portfolio composition when considering skewness and the role of gold. Finally Davies et al [25] reveal the importance of equity market neutral funds as volatility and kurtosis reducers, and of global macro funds as portfolio skewness enhancers. Ballarin et al, [26] developed a multi-period Weighted Goal Programming (WGP) model to analyze the issues related to net energy production from biomasses applied to Italy.…”
Section: Introductionmentioning
confidence: 99%