Diversification in Hedge Fund Portfolios
We explore the diversification benefits of increasing the number of hedge funds in an investment portfolio. Conventional wisdom suggests that investors should construct a portfolio of 20 to 30 hedge funds in order to achieve a reasonably low portfolio variance. We show using Monte Carlo simulations...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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| Online Access: | https://ink.library.smu.edu.sg/bnp_research/22 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1021&context=bnp_research |
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| Institution: | Singapore Management University |
| Language: | English |