Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Workplace-Name: Centre for Applied Financial Studies, University of South Australia, School of Mathematics and Statistics, 
	University of Sydney, and School of Business and Law, Edith Cowan University.
Author-Name:
 Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Author-Name: 
Abhay K. Singh
Author-Workplace-Name: School of Business and Law, Edith Cowan University.
Title: A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
Abstract: This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally 
	weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk 
	and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return and risk 
	targets and contrast the results with four more standard portfolio optimisation criteria, namely the tangency portfolio (MSR), 
	the most diversi_ed portfolio (MDP), the global minimum variance portfolio (GMW), and portfolios based on minimising expected 
	shortfall (ERC). Backtests of the chosen portfolios for this hedge fund data set indicate that the use of MCO is accompanied 
	by uncertainty about the a priori choice of optimal parameter settings for the decision criteria. The empirical results do not 
	appear to outperform more standard bi-criteria portfolio analyses in the backtests undertaken on our hedge fund index data.
Classification-JEL: G15, G17, G32, C58, D53.
Keywords: MCO, Portfolio Analysis, Hedge Fund Strategies, Multi-Criteria Optimisation, Genetic Algorithms.
Length: 25 pages 
Creation-Date: 2016-12
Number: 2017-03
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1703.txt
File-URL: https://eprints.ucm.es/id/eprint/40904/1/1703.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1703