Hedge Funds in a Risk Allocation Framework: Part 2

14 Pages Posted: 7 May 2015 Last revised: 23 Jul 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: August 1, 2002

Abstract

Part 1 of this paper can be found at http://ssrn.com/abstract=2602785.

This article is the second in a two-part series. The goal of this series is to discuss the innovative ways in which academics and practitioners are enhancing the risk allocation framework in order to incorporate hedge funds. The risk allocation framework consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures; 2. Optimize Risk Allocation; 3. Implement Investment Strategy.

Part 1 of this series discussed how to apply the first step, identifying risk exposures. Part 2 covers the second and third steps, optimizing the risk allocation and implementing the investment strategy.

Keywords: hedge funds, risk allocation, VAR

JEL Classification: G11, G23

Suggested Citation

Till, Hilary, Hedge Funds in a Risk Allocation Framework: Part 2 (August 1, 2002). Available at SSRN: https://ssrn.com/abstract=2602845 or http://dx.doi.org/10.2139/ssrn.2602845

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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