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Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in "The Journal of Alternative Investments", Vol.10-3, 7-29, Winter 2007. )

  • Takeshi Hakamada

    (GCI Asset Management, Inc.)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Kyo Yamamoto

    (Graduate School of Economics, University of Tokyo)

Registered author(s):

    This paper studies portfolio selection and performance analysis of hedge funds located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into asset class factors. Finally, portfolio optimizations and performance analyses are integrated to show how these methods are utilized in practice.

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    Paper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-073.

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    Length: 45 pages
    Date of creation: Sep 2006
    Date of revision:
    Handle: RePEc:cfi:fseres:cf073
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