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One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior

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  • Nishiyama, N.

Abstract

Absolute return strategy provided from fund of funds (FOFs) investment schemes is the focus in Japanese Financial Community. FOFs investment mainly consists of hedge fund investment and it has two major characteristics which are low correlation against benchmark index and little impact from various external changes in the environment given maximizing return.

Suggested Citation

  • Nishiyama, N., 2001. "One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 457-472.
    • Handle: RePEc:eee:phsmap:v:301:y:2001:i:1:p:457-472
    DOI: 10.1016/S0378-4371(01)00411-3
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    References listed on IDEAS

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    1. Danielsson, Jon & Morimoto, Yuji, 2000. "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 25-48, December.
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    Cited by:

    1. Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.

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