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

DOI10.3138/INFOR.47.1.43MaRDI QIDQ6160195zbMATH OpenFDO

Authors Thomas F. Coleman, Yuying Li

Publication date 9 May 2023

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

Full work available at URL https://doi.org/10.3138/INFOR.47.1.43

zbMATH Keywords

factor modelshedge fundsmarket timingpredicabilityrobust model estimationsupport vector regression

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• Asset allocation and derivatives
• scientific article; zbMATH DE number 1332320 (Why is no real title available?)
• scientific article; zbMATH DE number 1928694 (Why is no real title available?)
• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• Reaching goals by a deadline: digital options and continuous-time active portfolio management

Cited in

(1)

• A note on statistical models for individual hedge fund returns

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