Abstract

http://ssrn.com/abstract=1082692
 
 

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Optimisation of a Fund of Hedge Funds Portfolio Using Price Maximisation of Basket Options


Abhimanyu Chatterjee


British Telecom Pension Management Ltd

January 11, 2008


Abstract:     
Optimisation in the context of portfolios of stocks and bonds have been researched in detail in extant literature. To cater to the evergrowing world of hedge funds, we develop a alternative method for optimisation of Fund of Hedge Fund portfolios, by replicating payoffs of a basket option. This methodology avoids the pitfalls of current portfolio optimisation techniques This methodology has specific implications and applicability especially in optimisation of thematic Fund of Hedge Funds portfolios.

Number of Pages in PDF File: 17

Keywords: Hedge Funds, Portfolio Optimisation, Fund of Hedge Funds, Option Pricing

JEL Classification: G11, G12, G19, G29

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Date posted: January 11, 2008  

Suggested Citation

Chatterjee, Abhimanyu, Optimisation of a Fund of Hedge Funds Portfolio Using Price Maximisation of Basket Options (January 11, 2008). Available at SSRN: http://ssrn.com/abstract=1082692 or http://dx.doi.org/10.2139/ssrn.1082692

Contact Information

Abhimanyu Chatterjee (Contact Author)
British Telecom Pension Management Ltd ( email )
Lloyds Chambers,
1, Portsoken Street
London, E1 8HZ
United Kingdom
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