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As hedge funds continue to become more and more popular with investors, the amount of assets under their management has steadily grown, from around $40 billion in 1990 to an estimated $1839 billion by September 2007. Most investors do not invest in individual hedge funds directly, but invest in so-called funds of hedge funds (FoHF) instead. In return for a typically not-insignificant fee, FoHF (claim to) take care of the many unavoidable, time-consuming and complex issues that come with investing in a highly opaque asset class such as hedge funds. Although FoHF have been around for quite some time, it is still unclear how FoHF should optimally allocate capital across various hedge fund strategies. 1 In this paper, we show how a simple allocation technique based on polynomial goal programming (PGP) is particularly well-suited to dealing with the complex return distributions of hedge funds and their practical institutional constraints. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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