Die Optimierung von Hedgefonds-Portfolios

This work addresses the question of whether there are opportunities to improve hedge fund portfolios. After a brief overview of the historical development of portfolio theory, an analytical example is presented. For this study, the Dow Jones Credit Suisse Allhedge Index Euro was used and broken down into its components by asset classes to verify whether improvement opportunities exist. To calculate the optimal weights, the Minimum Risk Portfolio and the Tangential Portfolio were employed under various risk and performance measures as well as different return estimators. It was found that no significant improvements could be achieved through the Minimum Risk Portfolio. However, improvements were obtained using the Tangential Portfolio. Since the observational data are influenced by autocorrelation, uncorrelated data were calculated using the Unsmoothing method. The same analyses were then conducted with these corrected data, yielding results similar to those of the historically observable data.