A note on statistical models for individual hedge fund returns

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

Authors Ryozo Miura, Yoshimitsu Aoki, Daisuke Yokouchi 

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

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)

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Cited in

(7)

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• Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach
• TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS
• Estimating a Hedge Fund Return Model Based on a Small Number of Samples
• Analysis of Incremental Returns of Canadian Mutual Funds
• The dynamics of hedge fund performance
• A stochastic-difference-equation model for hedge-fund returns

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