Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method

  • In, Francis (Primary Chief Investigator (PCI))
  • Gencay, Ramazan (Partner Investigator (PI))

    Project: Research

    Project Details

    Project Description

    How does the risk exposure of hedge funds alter as the investment horizons increase? Does this impact on investors portfolio decision, in particular, the optimal hedge fund portfolio construction? In the context of hedge funds, a longer-horizon analysis is particularly important because hedge fund investors are often confronted with a significant lockup periods, and this effectively forces investors to take a longer-term view; accordingly, learning about the longer-horizon properties of hedge fund returns is crucial to investors' decision making. This project takes a significant step forward to develop new innovative methods to answer these questions.
    StatusFinished
    Effective start/end date5/01/0931/12/11

    Funding

    • Australian Research Council (ARC): AUD90,000.00