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dc.contributor.advisorHu, Jiaqiao; Tucker, Annen_US
dc.contributor.authorCru, Daviden_US
dc.contributor.otherDepartment of Applied Mathematics and Statisticsen_US
dc.date.accessioned2012-05-15T18:02:46Z
dc.date.available2012-05-15T18:02:46Z
dc.date.issued1-May-10en_US
dc.date.submittedMay-10en_US
dc.identifierCru_grad.sunysb_0771E_10140.pdfen_US
dc.identifier.urihttp://hdl.handle.net/1951/55401
dc.description.abstractPortfolio Selection as introduced by Harry Markowitz laid the foundation for Modern Portfolio Theory. However, the assumption that underlying asset returns follow a Normal Distribution and that investors are indierent to skew and kurtosis is not practically suited for the Hedge Fund environment. Additionally, the Lockup and Notice provisions built into Hedge Fund contracts make portfolio rebalancing dicult and justify the need for dynamic allocation strategies. Market conditions are dynamic, therefore, rebalancing constraints in the face of changing market environments can have a severe impact on return generation. There is a need for sophisticated yet tractable solutions to the multi-period problem of Hedge Fund portfolio construction and rebalancing. In this thesis we Generalize the Hedge Fund asset return distribution to a Multivariate K-mean Gaussian Mixture Distribution; model the multi-period Hedge Fund allocation problem as a Markov Decision Process (MDP); and propose practical rebalancing strategies that represent aconvergence of literature on Hedge Fund investing, Regime Switching, and Dynamic Portfolio Optimization.en_US
dc.description.sponsorshipStony Brook University Libraries. SBU Graduate School in Department of Applied Mathematics and Statistics. Lawrence Martin (Dean of Graduate School).en_US
dc.formatElectronic Resourceen_US
dc.language.isoen_USen_US
dc.publisherThe Graduate School, Stony Brook University: Stony Brook, NY.en_US
dc.subject.lcshApplied Mathematics -- Economics, Finance -- Operations Researchen_US
dc.subject.otherHedge Funds, Liquidity, Lockups, Markov Decision Process, Portfolio Optimization, Regime Switchingen_US
dc.titleDynamic Hedge Fund Asset Allocation Under Multiple Regimesen_US
dc.typeDissertationen_US
dc.description.advisorAdvisor(s): Jiaqiao Hu. Ann Tucker. Committee Member(s): Robert Frey; John Pinezich; Peter Djuric.en_US
dc.mimetypeApplication/PDFen_US


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