Dynamic hedge fund portfolio construction : a semi-parametric approach
Year of publication: |
2013
|
---|---|
Authors: | Harris, Richard D. F. ; Mazibas, Murat |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 1, p. 139-149
|
Subject: | Funds of hedge funds | Portfolio optimization | Copula | Extreme value theory | Monte Carlo simulation | Monte-Carlo-Simulation | Portfolio-Management | Portfolio selection | Hedgefonds | Hedge fund | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics |
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