对冲技术在资产管理中的运用-工商管理专业毕业论文.docx

strategies to the portfolio. In this way, we can not only take advantage of the Alpha benefit of the Hedge Fund but also we can extract the beta benefit of the Hedge Funds.
In this paper, S&P 500 price index and EDHEC alternative Indexes are used to testify the effectiveness of the new method of the portfolio construction. The portfolio optimization was carried out by the Cornish-Fisher extension and use minimize Value-at-risk instead of minimize volatility in order to better measure the Hedge Funds’ risk.
The portfolio optimization result clearly supports my new portfolio construction method. Under new method, the volatility of our portfolio’s return reduced dramatically and Average annual returns also higher than the market.
This new method has practical usefulness. Investor can benefit from this new method when they construct their portfolio.
KEY WORDS: Hedge Funds, Asset management, risk, Portfolio construction, portfolio optimization
Contents
Chapter 1 Introduction 1
Background 1
Understand Hedge Fund strategies 1
Chapter 2 Traditional portfolio construction 9
Traditional investment 9
Alternative investment 9
Traditional portfolio construction 11
Chapter 3 New method of portfolio construction 12
New point view of portfolio construction 12
The rationale behind of this point of view. 13
Passive versus traditional active approach 13
The reason for Hedge Funds as an active overlay to a passive portfolio 19
Why Hedge Funds in the core 21
Deep analysis of diversification benefit of Hedge Funds 28
Chapter 4 The portfolio optimization 31
Method of portfolio optimization 31
Practical study for new method of portfolio construction 32
Chapter 5 Summary 38
References 39
ACKNOWLEDGEMENT 41
Published Paper during the Study of MBA Degree 42
Chapter 1 Introduction
Background
In 1949, Alfred Jones initiated the first hedge fund in this world. Since then, Hedge Funds got quickly developed. Today Hedge Fund man