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Dynamic Hedge Fund Asset Allocation Under Multiple Regimes

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dc.contributor.advisor Hu, Jiaqiao en_US
dc.contributor.advisor Tucker, Ann en_US
dc.contributor.author Cru, David en_US
dc.contributor.other Department of Applied Mathematics and Statistics en_US
dc.date.accessioned 2012-05-15T18:02:46Z
dc.date.accessioned 2015-04-24T14:45:21Z
dc.date.available 2012-05-15T18:02:46Z
dc.date.available 2015-04-24T14:45:21Z
dc.date.issued 2010-05-01 en_US
dc.identifier Cru_grad.sunysb_0771E_10140.pdf en_US
dc.identifier.uri http://hdl.handle.net/1951/55401 en_US
dc.identifier.uri http://hdl.handle.net/11401/70970 en_US
dc.description.abstract Portfolio Selection as introduced by Harry Markowitz laid the foundation for Modern Portfolio Theory. However, the assumption that underlying asset returns follow a Normal Distribution and that investors are indierent to skew and kurtosis is not practically suited for the Hedge Fund environment. Additionally, the Lockup and Notice provisions built into Hedge Fund contracts make portfolio rebalancing dicult and justify the need for dynamic allocation strategies. Market conditions are dynamic, therefore, rebalancing constraints in the face of changing market environments can have a severe impact on return generation. There is a need for sophisticated yet tractable solutions to the multi-period problem of Hedge Fund portfolio construction and rebalancing. In this thesis we Generalize the Hedge Fund asset return distribution to a Multivariate K-mean Gaussian Mixture Distribution; model the multi-period Hedge Fund allocation problem as a Markov Decision Process (MDP); and propose practical rebalancing strategies that represent aconvergence of literature on Hedge Fund investing, Regime Switching, and Dynamic Portfolio Optimization. en_US
dc.description.sponsorship This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree. en_US
dc.format Monograph en_US
dc.format.medium Electronic Resource en_US
dc.language.iso en_US en_US
dc.publisher The Graduate School, Stony Brook University: Stony Brook, NY. en_US
dc.subject.lcsh Applied Mathematics -- Economics, Finance -- Operations Research en_US
dc.subject.other Hedge Funds, Liquidity, Lockups, Markov Decision Process, Portfolio Optimization, Regime Switching en_US
dc.title Dynamic Hedge Fund Asset Allocation Under Multiple Regimes en_US
dc.type Dissertation en_US
dc.mimetype Application/PDF en_US
dc.contributor.committeemember Robert Frey en_US
dc.contributor.committeemember John Pinezich en_US
dc.contributor.committeemember Peter Djuric en_US

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