Research and publications
Portfolio optimisation and hedge fund style allocation decisions
This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection. A revisited version of this paper was published in the Fall 2002 issue of the Journal of Alternative Investments.
Author(s):
Noël Amenc, Lionel Martellini
Summary:
This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection. A revisited version of this paper was published in the Fall 2002 issue of the Journal of Alternative Investments.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 01/01/2003 |
| Keywords : |
Asset Allocation |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
