Publication: A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies
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2018-06
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Abstract
The paper is concerned with a multi-criteria portfolio analysis of hedge fund strategies that are concerned with financial commodities, including the possibility of energy spot, futures and exchange traded funds (ETF). It features a tri-criteria analysis of the 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 tangency portfolio (MSR), most diversified portfolio (MDP), 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 the hedge fund index data.
El documento se refiere a un análisis de cartera de criterios múltiples de estrategias de fondos de cobertura que se ocupan de los productos financieros, incluida la posibilidad de fondos spot, futuros y fondos cotizados en bolsa (ETF). Presenta un análisis de tres criterios de los datos del índice de estrategia de datos del fondo Eurekahedge. Utilizamos nueve índices de estrategia principales igualmente ponderados de Eurekahedge para el análisis de cartera. El análisis de tres criterios presenta tres objetivos: retorno, riesgo y dispersión de los objetivos de riesgo en un análisis de cartera de Optimización Multi-Criterios (MCO). Variamos los de rentabilidad y riesgo objetivos MCO, y contrastar los resultados con otros cuatro criterios de optimización de la cartera estándar, a saber cartera de tangencia (MSR), la cartera más diversificada (MDP), portafolio de mínima varianza mundial (SMG), y carteras basados en la minimización de que exista un déficit (ERC) Las pruebas retrospectivas de las carteras elegidas para este conjunto de datos de fondos de cobertura indican que el uso de MCO va acompañado de incertidumbre acerca de la elección a priori de ajustes de parámetros óptimos para los criterios de decisión. Los resultados empíricos no parecen superar el rendimiento de análisis de cartera bi-criterio más estándar en los backtest realizados sobre los datos del índice de fondos de cobertura.
El documento se refiere a un análisis de cartera de criterios múltiples de estrategias de fondos de cobertura que se ocupan de los productos financieros, incluida la posibilidad de fondos spot, futuros y fondos cotizados en bolsa (ETF). Presenta un análisis de tres criterios de los datos del índice de estrategia de datos del fondo Eurekahedge. Utilizamos nueve índices de estrategia principales igualmente ponderados de Eurekahedge para el análisis de cartera. El análisis de tres criterios presenta tres objetivos: retorno, riesgo y dispersión de los objetivos de riesgo en un análisis de cartera de Optimización Multi-Criterios (MCO). Variamos los de rentabilidad y riesgo objetivos MCO, y contrastar los resultados con otros cuatro criterios de optimización de la cartera estándar, a saber cartera de tangencia (MSR), la cartera más diversificada (MDP), portafolio de mínima varianza mundial (SMG), y carteras basados en la minimización de que exista un déficit (ERC) Las pruebas retrospectivas de las carteras elegidas para este conjunto de datos de fondos de cobertura indican que el uso de MCO va acompañado de incertidumbre acerca de la elección a priori de ajustes de parámetros óptimos para los criterios de decisión. Los resultados empíricos no parecen superar el rendimiento de análisis de cartera bi-criterio más estándar en los backtest realizados sobre los datos del índice de fondos de cobertura.
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