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Determination of
the optimum allocation to hedge funds in a traditional portfolio:
Based on the current portfolio allocation, we investigated adding
hedge funds and identified the optimum allocation for a large pension
fund. For a European-based portfolio, the optimum allocation was around
19%, compared with a 100% allocation that traditional mean-variance
analysis had identified.
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Development of
a risk and portfolio management system for hedge funds:
The project’s objective was to develop a portfolio and risk
management system for a hedge fund-of-fund manager. In addition to
providing the methodology and quality-assurance aspects, risklab germany
also supported the implementation of the system.
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Evaluation and
risk analysis of a CDO:
Pricing, risk analysis, and comprehensive stress tests for a synthetic
CDO were carried out for a German corporate. The analysis showed that
the market price of the CDO under investigation was fair. |
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