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Hedge funds and higher moment portfolio selection
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Management Studies
2014
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| _version_ | 1867613220995334144 |
|---|---|
| access_status_str | Open Access |
| author | Bergh, G |
| author2 | Van Rensburg, Paul |
| author_browse | Bergh, G Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Bergh, G |
| author_sort | Bergh, G |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5881 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:41.376Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Management Studies |
| publisherStr | School of Management Studies |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5881 Hedge funds and higher moment portfolio selection Bergh, G Van Rensburg, Paul Management Studies Includes bibliographical references. This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio. 2014-07-31T12:36:59Z 2014-07-31T12:36:59Z 2005 Master Thesis Masters MBusSc http://hdl.handle.net/11427/5881 eng application/pdf School of Management Studies Faculty of Commerce University of Cape Town |
| spellingShingle | Management Studies Bergh, G Hedge funds and higher moment portfolio selection |
| thesis_degree_str | Master's |
| title | Hedge funds and higher moment portfolio selection |
| title_full | Hedge funds and higher moment portfolio selection |
| title_fullStr | Hedge funds and higher moment portfolio selection |
| title_full_unstemmed | Hedge funds and higher moment portfolio selection |
| title_short | Hedge funds and higher moment portfolio selection |
| title_sort | hedge funds and higher moment portfolio selection |
| topic | Management Studies |
| url | http://hdl.handle.net/11427/5881 |
| work_keys_str_mv | AT berghg hedgefundsandhighermomentportfolioselection |