A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
David Allen (),
Michael McAleer and
No EI2016-46, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return and risk targets and contrast the results with four more standard portfolio optimisation criteria, namely the tangency portfolio (MSR), the most diversifed portfolio (MDP), the global minimum variance portfolio (GMW), and portfolios based on minimising expected shortfall (ERC). Backtests of the chosen portfolios for this hedge fund data set indicate that the use of MCO is accompanied by uncertainty about the a priori choice of optimal parameter settings for the decision criteria. The empirical results do not appear to outperform more standard bi-criteria portfolio analyses in the backtests undertaken on our hedge fund index data.
Keywords: Keywords: MCO; Portfolio Analysis; Hedge Fund Strategies; Multi-Criteria Optimisation; Genetic Algorithms. (search for similar items in EconPapers)
JEL-codes: G15 G17 G32 C58 D53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (2017)
Working Paper: A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:98658
Access Statistics for this paper
More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ().