Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles
Empirical Evidence from Growth and Financial Crisis Periods
Wolfgang Bessler and Philipp Kurmann, Justus-Liebig-University, Giessen, Germany
Chapter Outline
27.1 Introduction
27.2 Literature Review
27.2.1 FoHFs Performance
27.2.2 FoHFs and Asset Allocation
27.3 Data
27.3.1 FoHFs and Benchmark Assets
27.3.2 Definition of Individual Subperiods
27.3.3 Descriptive Statistics
27.4 Methodology
27.4.1 Mean-Variance Optimization
27.4.2 Mean-Variance Spanning Tests
27.4.3 Return Smoothing
27.5 Empirical Results
27.5.1 Full Period (2002–2011)
27.5.2 Growth Period (2002–2007)
27.5.3 Crisis Period (2007–2011)
27.5.4 Return Smoothing
Conclusion
References
27.1 Introduction
It has ...
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