지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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Hedge funds can be established in Korea after the deregulation about setting up private equity funds on September, 2011. Although the variety of asset allocation strategies is the strength of hedge funds, most of Korean hedge funds uses only the equity long/short strategy. Therefore, it is need to introduce other strategies into Korea hedge funds, however all strategies can not be adopted at once because of the infrastructure of Korea financial market. In this paper, we find the optimal introductive order of strategies for Korea hedge fund in view of individual or institutional investors. For this analysis, HFRI data are used for the historical return of each hedge fund strategy and three methods (network visualization, principle component analysis and efficient frontier optimization) are used for finding the optimal order.
목차
1. 서론
2. 데이터
3. 최적의 투자전략 도입순서
4. 결론
참고문헌
참고문헌 (3)
참고문헌 신청
1. [단행본] - Bodie, Z. / 2011 / Investments and Portfolio Management / McGraw-Hill
2. [보고서] - Frank., N. / 2009 / Linkages between Asset Classes during the Financial Crisis, Accounting for Market Microstructure Noise and Non- Synchronous Trading, Oxford University Working Paper
3. [학술대회논문] - Kolar, M. / 2010 / On Sparse Nonparametric Conditional Covariance Selection / International Conference on Machine Learning
2. [보고서] - Frank., N. / 2009 / Linkages between Asset Classes during the Financial Crisis, Accounting for Market Microstructure Noise and Non- Synchronous Trading, Oxford University Working Paper
3. [학술대회논문] - Kolar, M. / 2010 / On Sparse Nonparametric Conditional Covariance Selection / International Conference on Machine Learning
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UCI(KEPA) : I410-ECN-0101-2014-530-000855594