An Asset Allocation Perspective of Hedge Fund Performance by Using Tests of "Mean-Variance Spanning"
碩士 === 國立中正大學 === 財務金融所 === 95 === In this thesis, we examine whether investors can improve their investment opportunity sets through the addition of a hedge fund portfolio to a set of benchmark portfolios that are sorted by firm size and book-to-market ratio by using “mean-variance spanning”. We p...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92431041578148271952 |