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Strategic asset selection taxonomy : fund of hedge funds
Includes bibliographical references (leaves 68-70).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867614300038758400 |
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| access_status_str | Open Access |
| author | Mokoma, Kaibe |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Mokoma, Kaibe |
| author_facet | Becker, Ronald Mokoma, Kaibe |
| author_sort | Mokoma, Kaibe |
| collection | Thesis |
| description | Includes bibliographical references (leaves 68-70). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/9037 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:49:50.900Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/9037 Strategic asset selection taxonomy : fund of hedge funds Mokoma, Kaibe Becker, Ronald Schlebusch, Thomas Mathematics of Finance Includes bibliographical references (leaves 68-70). This thesis develops a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard for some time are derived on the assumption of normal distribution. Hence they use only mean and standard deviation to explain all data phenomenal attributes of time series. This study project uses higher order moments and some performance measures to rank order feasible portfolios of different hedge fund strategies based on their calculated metrics. Then determine the significance of t-Statistics, thus to observe the likelihood of achieving a particular return level relative to the downside associated with that target return and also on the behavioral hypothesis that investors prefer more to less. The study proposes and examines an alternative performance measures to facilitate the investment decision making. An indication of how this may be applied across a broad range of problems in hedge funds analysis. Some performance measures capture the higher order moments of the return distributions. This method makes intuitive sense since one of the key mandates of the hedge funds is to seek to capture most upside while protecting against downside. 2014-11-03T08:30:37Z 2014-11-03T08:30:37Z 2010 Master Thesis Masters MSc http://hdl.handle.net/11427/9037 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Mokoma, Kaibe Strategic asset selection taxonomy : fund of hedge funds |
| thesis_degree_str | Master's |
| title | Strategic asset selection taxonomy : fund of hedge funds |
| title_full | Strategic asset selection taxonomy : fund of hedge funds |
| title_fullStr | Strategic asset selection taxonomy : fund of hedge funds |
| title_full_unstemmed | Strategic asset selection taxonomy : fund of hedge funds |
| title_short | Strategic asset selection taxonomy : fund of hedge funds |
| title_sort | strategic asset selection taxonomy fund of hedge funds |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/9037 |
| work_keys_str_mv | AT mokomakaibe strategicassetselectiontaxonomyfundofhedgefunds |