Essays about: "hedge fund optimization"

Showing result 1 - 5 of 6 essays containing the words hedge fund optimization.

1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Josefin Bladh; Holm Greta; [2021]
   Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

3. 2. Shareholder altruism or corporate piracy? - Operational performance of companies targeted by activist hedge funds

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Wilhelm Börjesson; Jakob Kyllenbeck; [2017]
   Keywords : Hedge fund activism; Shareholder activism; Operational performance;

   Abstract : In this study, the operational performance of companies subject to hedge fund activism is investigated. We study 689 companies in the Unites States and Europe between 2000-2015 and find that companies targeted by activist hedge funds outperform their control firms with regard to appreciation in valuation and capital efficiency, e.g. READ MORE

4. 3. Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market

   University essay from Handelshögskolan vid Umeå universitet

   Author : Daniel Sundqvist; [2009]
   Keywords : Hedge funds; portfolio optimization; markowitz; mean-variance; efficient frontier; case study; skewness; kurtosis; sortino ratio; sharpe ratio; downside deviation; omega ratio;

   Abstract : Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. READ MORE

5. 4. Hedge Funds and Their Strategies : An Investigation about Correlation Market Neutrality and the Improvement of Portfolio Performance

   University essay from Handelshögskolan vid Umeå universitet

   Author : Andreas Kuhn; Roland Muske; [2007]
   Keywords : Hedge Funds; Correlation; Market Neutrality; Portfolio;

   Abstract : Reading the daily financial news, it becomes quite obvious that hedge funds are receiving huge attention by financial analysts and politicians. Many people fear the influence of hedge funds on single companies as well as on the global economy. This study does not judge the behavior of hedge funds. READ MORE

6. 5. Portfolio optimization: A trading strategy based on time varying volatility

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Henrik Gripenvik; [2006]
   Keywords : ;

   Abstract : This thesis evaluates the possibility of making relatively reliable forecasts of future variances, covariances and returns of a portfolio of risky assets. The forecasts are used as input- variables in a trading strategy based on the Markowitz portfolio optimization algorithm forming an ex ante-optimal portfolio of stocks. READ MORE