| Hedge funds have been popular in the past decade due to the unique return opportunities they provide. They can invest in any financial instrument, take long-short positions and leverage up easily. Multi-strategy hedge funds offer advantages compared to other hedge funds as they are diversified across various strategies and have the ability to move funds among these strategies easily.; Multi-strategy hedge fund managers use the same analysis methods repeatedly for different strategies they plan to implement, creating inefficiencies. They use specialized tools for different strategies, which may not be compatible with each other. Our modeling framework provides a general setting where one can develop and analyze any type of investment strategy and optimize a portfolio of strategies in an efficient way. This framework is mainly a collection of C++ classes that represent the entities of the multi-strategy hedge fund analysis. The core classes are investment strategy, which represents a hedge fund strategy; investment vehicle, which represents a financial instrument; and portfolio, in which multiple instruments can be combined with a strategy rule.; The modeling framework is designed to perform four main operations: developing strategies, analyzing investment vehicles, optimizing portfolios, and managing data. The modeling framework provides a convenient setting to define new investment strategies. It provides efficiency in performing multiple analyses at a time and performing the same analysis repeatedly. It allows the user to use AMPL to perform portfolio optimization from within the framework where the user can either employ one of the existing models in the system or develop a customized model. It ensures the validity of data when data enters the system and while it is being processed in the system. |
