Estimating a Hedge Fund Return Model Based on a Small Number of Samples

DOI10.3138/INFOR.47.1.43MaRDI QIDQ6160195FDOQ6160195

Authors: Thomas F. Coleman, Yuying Li 

Publication date: 9 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

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zbMATH Keywords

factor modelshedge fundsmarket timingsupport vector regressionpredicabilityrobust model estimation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Asset allocation and derivatives
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Cited In (1)

• A note on statistical models for individual hedge fund returns

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