One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior

N. Nishiyama

Physica A: Statistical Mechanics and its Applications, 2001, vol. 301, issue 1, 457-472

Abstract: Absolute return strategy provided from fund of funds (FOFs) investment schemes is the focus in Japanese Financial Community. FOFs investment mainly consists of hedge fund investment and it has two major characteristics which are low correlation against benchmark index and little impact from various external changes in the environment given maximizing return.

Keywords: Absolute return strategy; Nonlinear type of fluctuation; Scenario correlation; Self-organized criticality (SOC); Group risk (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:301:y:2001:i:1:p:457-472

DOI: 10.1016/S0378-4371(01)00411-3

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