Selection and Performance Analysis of Asia-Pacific Hedge Funds
Takeshi Hakamada and
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Kyo Yamamoto: Graduate School of Economics, The University of Tokyo
Takeshi Hakamada: GCI Asset Management, Inc.
Akihiko Takahashi: Faculty of Economics, The University of Tokyo
No CARF-J-028, CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
This paper studies portfolio selection and performance analysis of hedge funds whose locations or investment targets are Asian-Pacific region. Utilizing Eurekahedge database, we investigate the characteristics of the funds' returns and optimization methods to create a fund of funds. Moreover, we decompose the returns of the hedge funds into risk factors which are observable in financial markets such as stock indices. Then, we attempt to manage a fund of funds by applicating those analyses.
Pages: 51 pages
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:jseres:cj028
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