Quantitative investment strategies and portfolio management

J. Guo

Research output: ThesisDoctoral ThesisScientific

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Abstract

This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment preference by fund of hedge funds managers. The analysis suggests that single-strategy hedge funds enter into the portfolio of funds of funds in a non-random way. Finally, the last essay shows that the equity market momentum is a significant variable in predicting optimal asset allocations and therefore adds value to the active portfolio management. However, an investor may not benefit from the delegated portfolio management, even though the active portfolio management generates a high information ratio.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • de Roon, Frans, Promotor
  • ter Horst, Jenke, Promotor
Award date8 Oct 2012
Place of PublicationTilburg
Publisher
Print ISBNs9789056683221
Publication statusPublished - 2012

Fingerprint

Investment portfolio
Investment strategy
Strategy management
Hedge funds
Portfolio management
Active portfolio management
Investors
Investing
Delegated portfolio management
Investment management
Fund of funds
Optimal asset allocation
Equity markets
Fund managers
Alternative investments
Momentum

Cite this

Guo, J. (2012). Quantitative investment strategies and portfolio management. Tilburg: CentER, Center for Economic Research.
Guo, J.. / Quantitative investment strategies and portfolio management. Tilburg : CentER, Center for Economic Research, 2012. 131 p.
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Guo, J 2012, 'Quantitative investment strategies and portfolio management', Doctor of Philosophy, Tilburg University, Tilburg.

Quantitative investment strategies and portfolio management. / Guo, J.

Tilburg : CentER, Center for Economic Research, 2012. 131 p.

Research output: ThesisDoctoral ThesisScientific

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AB - This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment preference by fund of hedge funds managers. The analysis suggests that single-strategy hedge funds enter into the portfolio of funds of funds in a non-random way. Finally, the last essay shows that the equity market momentum is a significant variable in predicting optimal asset allocations and therefore adds value to the active portfolio management. However, an investor may not benefit from the delegated portfolio management, even though the active portfolio management generates a high information ratio.

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Guo J. Quantitative investment strategies and portfolio management. Tilburg: CentER, Center for Economic Research, 2012. 131 p. (CentER Dissertation Series).