Gain de la diversification dynamique à travers les stratégies de Hedge Funds

This paper compares the investment policies and performance for portfolios of stocks, real Estates with and without two categories of hedge fund indexes: on one hand a general hedge fund index and on the other hand, 10 strategy indexes representing the hedge fund universe. The portfolios were generated via the discrete-time dynamic investment model based on the empirical probability assessment approach applied to past realisations of returns. Our principal findings are (1) The gains from adding the hedge fund strategy indexes to traditional portfolio were observed for all the level of risk aversion (2) The gains from adding hedge fund strategy indexes to portfolio of stocks and real estates is more consequent than adding a general index of hedge funds to this portfolio.