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    Hedge funds performance vis-à-vis other asset classes and portfolio optimization

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    msc_jehangur_i_2017.pdf (4.192Mb)
    Author
    Irfaan, Jehangur
    Date
    2017
    Degree
    MSc International Accounting and Finance
    URI
    http://hdl.handle.net/10788/3298
    Publisher
    Dublin Business School
    Rights holder
    http://esource.dbs.ie/copyright
    Rights
    Items in eSource are protected by copyright. Previously published items are made available in accordance with the copyright policy of the publisher/copyright holder.
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    Abstract
    In the last few years, there has been a growing level of dissatisfaction among investors with hedge funds whilst the financial markets have witnessed a shift toward more passive investing, that is, from actively managed Exchange Traded Funds (ETFs) to low cost passive ETFs. This thesis aimed at analyzing the performance of hedge funds and ETFs over the last five years using several risk performance measures. Other asset classes were added to enable an in-depth analysis and comparison. Finally, using the mean-variance technique, a portfolio was created and optimized.
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