Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method

使用多尺度方法对最优对冲基金投资组合进行建模

• 批准号: DP0987678
• 负责人: Prof Francis In
• 金额: $ 6.22万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2009
• 资助国家: 澳大利亚
• 起止时间: 2009-01-05 至 2011-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0987678
• 关键词: Modelling; Optimal; Hedge; Fund; Portfolio

Asset allocation theory sits at the heart of modern finance, yet remains something of a conundrum. By developing the a longer-horizon framework to asset allocation involving hedge funds, this project provides a significant insight onto sources of risk-horizon effects on asset allocation and allow us to understand how the exposure of hedge funds to the market risk varies across investment horizons. This allows academics to address a wide range of problems in optimal asset allocation and performance measurement. In addition, the outcomes can be applied to risk management by practitioners for their international and Australian domestic investors.

资产配置理论是现代金融的核心，但在某种程度上仍是一个难题。通过开发涉及对冲基金的资产配置的较长期框架，该项目提供了对资产配置的风险水平影响来源的重要见解，并使我们能够了解对冲基金对市场风险的暴露如何在不同的投资范围内变化。这使得学者们能够在最优资产配置和绩效衡量方面解决广泛的问题。此外，结果可以应用于风险管理的从业人员为他们的国际和澳大利亚国内投资者。