Quantitative investment strategies and portfolio management

J. Guo

Research output: ThesisDoctoral Thesis

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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

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    Guo, J. (2012). Quantitative investment strategies and portfolio management. CentER, Center for Economic Research.