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Dynamic hedge fund asset allocation ...

Cru, David.

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Dynamic hedge fund asset allocation under multiple regimes.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Dynamic hedge fund asset allocation under multiple regimes./
Author:	Cru, David.
Description:	141 p.
Notes:	Source: Dissertation Abstracts International, Volume: 71-07, Section: B, page: 4329.
Contained By:	Dissertation Abstracts International71-07B.
Subject:	Applied Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408342
ISBN:	9781124044347

Dynamic hedge fund asset allocation under multiple regimes.
Cru, David.

Dynamic hedge fund asset allocation under multiple regimes. - 141 p.

Source: Dissertation Abstracts International, Volume: 71-07, Section: B, page: 4329.

Thesis (Ph.D.)--State University of New York at Stony Brook, 2010.

Portfolio Selection as introduced by Harry Markowitz laid the foundation for Modern Portfolio Theory. However, the assumption that underlying asset returns follow a Normal Distribution and that investors are indifferent to skew and kurtosis is not practically suited for the Hedge Fund environment. Additionally, the Lockup and Notice provisions built into Hedge Fund contracts make portfolio rebalancing difficult and justify the need for dynamic allocation strategies. Market conditions are dynamic, therefore, rebalancing constraints in the face of changing market environments can have a severe impact on return generation. There is a need for sophisticated yet tractable solutions to the multi-period problem of Hedge Fund portfolio construction and rebalancing. In this thesis we Generalize the Hedge Fund asset return distribution to a Multivariate K-mean Gaussian Mixture Distribution; model the multi-period Hedge Fund allocation problem as a Markov Decision Process (MDP); and propose practical rebalancing strategies that represent a convergence of literature on Hedge Fund investing, Regime Switching, and Dynamic Portfolio Optimization.

ISBN: 9781124044347Subjects--Topical Terms:

1669109
Applied Mathematics.

Dynamic hedge fund asset allocation under multiple regimes.
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245 1 0 $a Dynamic hedge fund asset allocation under multiple regimes.
300 $a 141 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-07, Section: B, page: 4329.
500 $a Advisers: Jiaqiao Hu; Ann Tucker.
502 $a Thesis (Ph.D.)--State University of New York at Stony Brook, 2010.
520 $a Portfolio Selection as introduced by Harry Markowitz laid the foundation for Modern Portfolio Theory. However, the assumption that underlying asset returns follow a Normal Distribution and that investors are indifferent to skew and kurtosis is not practically suited for the Hedge Fund environment. Additionally, the Lockup and Notice provisions built into Hedge Fund contracts make portfolio rebalancing difficult and justify the need for dynamic allocation strategies. Market conditions are dynamic, therefore, rebalancing constraints in the face of changing market environments can have a severe impact on return generation. There is a need for sophisticated yet tractable solutions to the multi-period problem of Hedge Fund portfolio construction and rebalancing. In this thesis we Generalize the Hedge Fund asset return distribution to a Multivariate K-mean Gaussian Mixture Distribution; model the multi-period Hedge Fund allocation problem as a Markov Decision Process (MDP); and propose practical rebalancing strategies that represent a convergence of literature on Hedge Fund investing, Regime Switching, and Dynamic Portfolio Optimization.
590 $a School code: 0771.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
650 4 $a Operations Research. $3 626629
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690 $a 0508
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710 2 $a State University of New York at Stony Brook. $b Applied Mathematics and Statistics. $3 1684041
773 0 $t Dissertation Abstracts International $g 71-07B.
790 1 0 $a Hu, Jiaqiao, $e advisor
790 1 0 $a Tucker, Ann, $e advisor
790 1 0 $a Frey, Robert $e committee member
790 1 0 $a Pinezich, John $e committee member
790 1 0 $a Djuric, Peter $e committee member
790 $a 0771
791 $a Ph.D.
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408342