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- W2170996874 abstract "This paper compares different methods of optimization for a portfolio allocation that includes funds of funds. Optimization consists of minimizing risk measured by one of the following proxies: normal Value at Risk (VaR), adjusted VaR (adjusted using the Cornish-Fisher expansion), weighted historical simulation VaR, and semi-deviation. Results indicate that compared to the other proxies of VaR, normal VaR tends to underestimate portfolio risk. Moreover funds of funds improve the risk-return profile of the portfolio. This last result is interesting since funds of hedge funds exhibit less of the individual hedge funds9 biases reported in the literature. <b>TOPICS:</b>Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk, statistical methods, portfolio construction" @default.
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- W2170996874 date "2006-07-31" @default.
- W2170996874 modified "2023-10-16" @default.
- W2170996874 title "Optimal Portfolio Allocation Using Funds of Hedge Funds" @default.
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- W2170996874 doi "https://doi.org/10.3905/jwm.2006.644221" @default.
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