<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The application is focused on strategies for portfolio management in the case of hedge-funds for emerging markets taking into account the severe constraints for a real-world implementation. In the case of Romanian capital market, the design of a hedge-fund architecture should respond to the typical constraints for using alternative strategies. Beyond the liquidity problems there exits only a limited set of alternative instruments and strategies with impact on diversification, on the functionality and efficiency. The objective is to develop a better understanding of alternative actions and innovations for real adaptation of the architecture of a hedge-fund at these emerging market conditions, especially the lack of short and hedging instruments and the liquidity problems. Based on this new innovative framework that could capture the value of multiple rotating satellite sub-portfolio paradigm, as an active strategy, it is possible to build a different paradigm for active portfolio management in a dynamic manner. Based on an adequate dynamic of rotation of these sub-portfolios it results an optimal risk- return-liquidity profile for the whole hedge-fund portfolio, adaptable for different contexts.</p>
</abstract>

The application is focused on strategies for portfolio management in the case of hedge-funds for emerging markets taking into account the severe constraints for a real-world implementation. In the case of Romanian capital market, the design of a hedge-fund architecture should respond to the typical constraints for using alternative strategies. Beyond the liquidity problems there exits only a limited set of alternative instruments and strategies with impact on diversification, on the functionality and efficiency. The objective is to develop a better understanding of alternative actions and innovations for real adaptation of the architecture of a hedge-fund at these emerging market conditions, especially the lack of short and hedging instruments and the liquidity problems. Based on this new innovative framework that could capture the value of multiple rotating satellite sub-portfolio paradigm, as an active strategy, it is possible to build a different paradigm for active portfolio management in a dynamic manner. Based on an adequate dynamic of rotation of these sub-portfolios it results an optimal risk- return-liquidity profile for the whole hedge-fund portfolio, adaptable for different contexts.

Applications of Game- Theory in Active Strategic Portfolio Management- the Case of Hedge - Funds Adaptation for the Real Constraints in Romanian Capital Market

International conference KNOWLEDGE-BASED ORGANIZATION

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The application is focused on strategies for portfolio management in the case of hedge-funds for emerging markets taking into account the severe constraints...

Applications of Game- Theory in Active Strategic Portfolio Management- the Case of Hedge - Funds Adaptation for the Real Constraints in Romanian Capital Market

Publié en ligne: 12 juil. 2021

Pages: 100 - 104

DOI: https://doi.org/10.2478/kbo-2021-0055

Mots clés
hedge-fund, game-theory, active strategic portfolio management (ASPM), sub-portfolio dynamic rotation management (SPDRM)

© 2021 Eugen-Silviu Vrăjitoru et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Applications of Game- Theory in Active Strategic Portfolio Management- the Case of Hedge - Funds Adaptation for the Real Constraints in Romanian Capital Market

Publié en ligne: 12 juil. 2021

Pages: 100 - 104

DOI: https://doi.org/10.2478/kbo-2021-0055

Mots cléshedge-fund, game-theory, active strategic portfolio management (ASPM), sub-portfolio dynamic rotation management (SPDRM)

© 2021 Eugen-Silviu Vrăjitoru et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Mots clés
hedge-fund, game-theory, active strategic portfolio management (ASPM), sub-portfolio dynamic rotation management (SPDRM)