Funds of Hedge Funds Strategies and Implications for Asset Management
Is Diversification Enough?
Simone Siragusa, Università della Svizzera Italiana, Lugano, Switzerland
Chapter Outline
22.1. Introduction and Literature Review
22.2. Data
22.3. Factor Model (Risk Factors)
22.4. Portfolio Allocation with Hedge Funds and FoHFs
22.5. Certainty Equivalence and Portfolio Allocation with FoHFs
Conclusion
References
22.1 Introduction and Literature Review
Selling a fund of hedge funds (FoHF) to investors requires that the manager perform due diligence with each underlying hedge fund manager and simultaneously provide proper diversification of hedge fund strategies. The simple time-tested and appealing concept of diversification of ‘Don’t put ...
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