Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method

资产配置理论是现代金融的核心，但仍然是一个难题。 通过开发涉及对冲基金的资产配置的长期框架，该项目提供了对资产配置的风险范围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投资范围内变化。 这使学者能够解决最佳资产配置和绩效衡量方面的广泛问题。此外，研究结果还可应用于从业人员为国际和澳大利亚国内投资者进行风险管理。

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.