TY - JOUR T1 - Optimal Portfolio Allocation Using Funds of Hedge Funds JF - The Journal of Wealth Management SP - 85 LP - 95 DO - 10.3905/jwm.2006.644221 VL - 9 IS - 2 AU - Jean-Pierre Gueyié AU - Serge Patrick Amvella Y1 - 2006/07/31 UR - https://pm-research.com/content/9/2/85.abstract N2 - 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' 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 ER -