Hedge Fund Risk Modelling: Linking hedge fund and traditional asset risk
More and more investors hold hedge funds as an integral part of their overall portfolio, and growing numbers of multi-asset products include an allocation to hedge funds. These developments call for a consistent way of integrating hedge funds in an overall portfolio. A new model that achieves that objective is presented in this paper by Vincent Couson, head of strategic investment solutions, and Sa Lu, analyst. such as equities, fixed income or commodities.
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