@article {Gueyi{\'e}85, author = {Jean-Pierre Gueyi{\'e} and Serge Patrick Amvella}, title = {Optimal Portfolio Allocation Using Funds of Hedge Funds}, volume = {9}, number = {2}, pages = {85--95}, year = {2006}, doi = {10.3905/jwm.2006.644221}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This paper compares different methods of optimization for a portfolio allocation that includes funds of funds. Optimization consists of minimizing risk measured by one of the following proxies: normal Value at Risk (VaR), adjusted VaR (adjusted using the Cornish-Fisher expansion), weighted historical simulation VaR, and semi-deviation. Results indicate that compared to the other proxies of VaR, normal VaR tends to underestimate portfolio risk. Moreover funds of funds improve the risk-return profile of the portfolio. This last result is interesting since funds of hedge funds exhibit less of the individual hedge funds{\textquoteright} biases reported in the literature.TOPICS: Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk, statistical methods, portfolio construction}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/9/2/85}, eprint = {https://jwm.pm-research.com/content/9/2/85.full.pdf}, journal = {The Journal of Wealth Management} }