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The Journal of Wealth Management

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Primary Article

Optimal Portfolio Allocation Using Funds of Hedge Funds

Jean-Pierre Gueyié and Serge Patrick Amvella
The Journal of Wealth Management Fall 2006, 9 (2) 85-95; DOI: https://doi.org/10.3905/jwm.2006.644221
Jean-Pierre Gueyié
An associate professor of finance in the School of Business, University of Quebec in Montreal, Canada.
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  • For correspondence: gueyie.jeanpierre@uqam.ca
Serge Patrick Amvella
A Ph.D candidate at the University of Quebec in Montreal, Canada.
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Abstract

This paper compares different methods of optimization for a portfolio allocation that includes funds of funds. Optimization consists of minimizing risk measured by one of the following proxies: normal Value at Risk (VaR), adjusted VaR (adjusted using the Cornish-Fisher expansion), weighted historical simulation VaR, and semi-deviation. Results indicate that compared to the other proxies of VaR, normal VaR tends to underestimate portfolio risk. Moreover funds of funds improve the risk-return profile of the portfolio. This last result is interesting since funds of hedge funds exhibit less of the individual hedge funds' biases reported in the literature.

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The Journal of Wealth Management
Vol. 9, Issue 2
Fall 2006
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Optimal Portfolio Allocation Using Funds of Hedge Funds
Jean-Pierre Gueyié, Serge Patrick Amvella
The Journal of Wealth Management Jul 2006, 9 (2) 85-95; DOI: 10.3905/jwm.2006.644221

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Optimal Portfolio Allocation Using Funds of Hedge Funds
Jean-Pierre Gueyié, Serge Patrick Amvella
The Journal of Wealth Management Jul 2006, 9 (2) 85-95; DOI: 10.3905/jwm.2006.644221
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