对冲基金组合构建——静态方法与动态方法的比较

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           This article studies the impact of modelling time varying covariances/correlations of hedge fund returns in terms of hedge fund portfolio construction and risk measurement. We use a variety of static and dynamic covariance/correlation prediction models and compare the optimized portfolios’ out-of-sample performance. We find that dynamic covariance/correlation models construct portfolios with lower risk and higher out-of-sample risk-adjusted realized return. The tail-risk of the constructed portfolios is also
lower. Using a mean-conditional-value-at-risk framework we show that dynamic covariance/correlation models are also successful in constructing portfolios with minimum tail-risk.

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关键词：基金组合 对冲基金 Construction Constructing correlations 对冲基金 动态

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