| Summary: | 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 present various approaches that can be used to test whether the mean-variance frontier of an asset spans or intersects the frontier of a larger set of assets. The approaches we used to test the mean-variance spanning are the finite sample likelihood ratio test, Lagrange multiplier, likelihood ratio, Wald tests and the GMM Wald test. Using monthly returns of hedge funds investments from CISDM from March 1972 to November 2005, we conclude that hedge fund portfolios improve the mean-variance frontier set.
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