A note on statistical models for individual hedge fund returns

DOI10.1007/S00186-008-0251-8zbMATH Open1164.91050OpenAlexW2074825407MaRDI QIDQ1028542FDOQ1028542

Daisuke Yokouchi, Yoshimitsu Aoki, Ryozo Miura

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0251-8

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zbMATH Keywords

Sharpe ratiohedge fundreturn distributionoption-like naturerolling autoregression

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Portfolio theory (91G10)

Cited In (3)

• Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach
• TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS
• Analysis of Incremental Returns of Canadian Mutual Funds

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