In June,1 we examined the role of hedge funds in the satellite portion of investors' portfolios and discussed choice of allocation tools. Here, we complete the topic of optimal diversification by discussing an allocation method maximising the diversification effect and examine optimal substitution of hedge fund strategies in investors' portfolios.
The inter-strategy allocation process used to construct efficient diversification benchmarks rests on two principles:
Since assets' future returns
The week on Risk.net, July 14–20, 2017Receive this by email