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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung

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  • Heidorn, Thomas
  • Kaiser, Dieter G.
  • Muschiol, Andrea

Abstract

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the Markowitz mean variance framework, may lead to an overestimation of the op-timal allocation to hedge funds. In this study we use Polynomial Goal Programming (PGP) to incorporate higher moments of the distribution into the optimization. This article is the first to use the enhanced PGP method which incorporates investors' preferences to optimize a tradi-tional portfolio consisting of equities, bonds and commodities. Even when considering higher moments we can show that hedge funds can be useful in enhancing the return and reducing the risk of the overall portfolio. Moreover, we find evidence that applying the mean variance framework to hedge funds does not result in overestimated hedge fund allocations. On the other hand PGP leads to totally different asset allocations on the strategy level.

Suggested Citation

  • Heidorn, Thomas & Kaiser, Dieter G. & Muschiol, Andrea, 2007. "Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung," Frankfurt School - Working Paper Series 77, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:77
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    Citations

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    Cited by:

    1. Christina E. Bannier, 2010. "Is there a Holdup Benefit in Heterogeneous Multiple Bank Financing?," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 166(4), pages 641-661, December.
    2. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
    3. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
    4. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    5. Heimer, Thomas & Hölscher, Luise & Werner, Matthias Ralf, 2008. "Access to finance and venture capital for industrial SMEs," Frankfurt School - Working Paper Series 97, Frankfurt School of Finance and Management.
    6. Herrmann-Pillath, Carsten, 2010. "Meaning and function in the theory of consumer choice: dual selves in evolving networks," Frankfurt School - Working Paper Series 153, Frankfurt School of Finance and Management.
    7. Almer, Thomas & Heidorn, Thomas & Schmaltz, Christian, 2008. "The dynamics of short- and long-term CDS-spreads of banks," Frankfurt School - Working Paper Series 95, Frankfurt School of Finance and Management.
    8. Scholz, Peter & Walther, Ursula, 2010. "Investment certificates under German taxation: Benefit or burden for structured products' performance?," CPQF Working Paper Series 24, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    9. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    10. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.
    11. Kostka, Genia & Hobbs, William, 2010. "Energy efficiency in China: The local bundling of interests and policies," Frankfurt School - Working Paper Series 151, Frankfurt School of Finance and Management.

    More about this item

    Keywords

    Portfolio Selection; Hedge Funds; Mean-Variance-Skewness-Kurtosis; Polyno-mial Goal Programming; Higher Moments;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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