Tid: 10 februari 2003 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Martin Lundvall.

Titel: On the Risk Management and Portfolio Analysis of Hedge Funds. (Examensarbete)


The hedge fund industry has expanded rapidly during the last decade, and today many institutional investors are beginning to show interest in the alternative investment hedge funds. In this thesis hedge funds and the risks regarding them are examined. It is shown that hedge funds can differ significantly from traditional investments like mutual funds, and consequently traditional performance measures may not be adequate. It is also shown that because of lack of data there is no point using advanced statistical analysis, instead most of the mathematical tools used are quite easy to understand. The main idea in this thesis is that the returns should be analysed the way they really are and not based on some misspecified assumption like the normal distribution. Many statistical estimates and plots are used to get a better idea of the true underlying distribution, and finally the mathematical investigation is complemented with a qualitative analysis. A risk management system for hedge funds is provided in this thesis as well as a discussion regarding the inclusion of hedge funds in traditional portfolios.

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