Download this Paper Open PDF in Browser

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

17 Pages Posted: 11 Jan 2008  

Abhimanyu Chatterjee

British Telecom Pension Management Ltd

Date Written: 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.

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

JEL Classification: G11, G12, G19, G29

Suggested Citation

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

Abhimanyu Chatterjee (Contact Author)

British Telecom Pension Management Ltd ( email )

Lloyds Chambers,
1, Portsoken Street
London, E1 8HZ
United Kingdom

Paper statistics

Downloads
343
Rank
72,502
Abstract Views
1,831