The option CAPM and the performance of hedge funds

DOI10.1007/S11147-011-9062-9zbMath1231.91108OpenAlexW2153131662MaRDI QIDQ656073

René Garcia, Antonio Diez de los Rios

Publication date: 26 January 2012

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-011-9062-9

zbMATH Keywords

performance evaluationhedge fundsnonlinear return structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Unnamed Item

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