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- W72889342 abstract "Institutional investors, pension funds, and insurance companies are following the lead of high-net-worth investors and endowment funds by allocating a greater proportion of their portfolios to alternative asset classes. This chapter employs a four-moment polynomial goal programming technique to evaluate the relative importance of three alternative asset classes for optimal fund of funds asset allocation. It constructs two different types of funds of funds: standalone funds and funds that would be added to existing equal-weighted portfolios of stocks and bonds. The optimal asset allocations were calculated, given investor preferences, for the two types of funds of funds, with and without constraints on the maximum allocation to a given strategy. The results indicate that the composition of the optimal portfolio is sensitive to the type of fund as well as to the investor's preferences for the different moments. All three asset classes play a significant role in the construction of the optimal fund of funds. For the stand-alone fund of funds, the hedge fund strategies dominate, but the CTA and REIT indices are included when investors increase the weightings for the higher moments. In the funds of funds that are added to a stock and bond portfolio, the number of hedge fund strategies in the optimal portfolios is greatly reduced in favor of trend-following CTA strategies." @default.
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- W72889342 date "2006-01-01" @default.
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- W72889342 title "Optimal fund of funds asset allocation" @default.
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- W72889342 doi "https://doi.org/10.1016/b978-075067984-8.50008-0" @default.
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