A stochastic-difference-equation model for hedge-fund returns
type: Item
instance of: scholarly article
title: A stochastic-difference-equation model for hedge-fund returns
zbMATH Open document ID: 1194.91198
DOI: 10.1080/14697680903200739
author: Emanuel Derman
author: Ward Whitt
author: Kunsoo Park
published in: Quantitative Finance
publication date: 2010-09-21T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5789662
zbMATH Keywords: hedge fund performance
zbMATH Keywords: stochastic difference equation
zbMATH Keywords: persistence of returns
zbMATH Keywords: heavy-tailed distributions
zbMATH Keywords: model calibration
zbMATH Keywords: TASS hedge-fund database
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/14697680903200739
OpenAlex ID: W2063208862
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description: scientific article; zbMATH DE number 5789662