Factor selection in dynamic hedge fund replication models : a Bayesian approach
Year of publication: |
2014
|
---|---|
Authors: | Weisang, Guillaume |
Published in: |
Bayesian model comparison. - Bingley [u.a.] : Emerald, ISBN 978-1-78441-185-5. - 2014, p. 181-222
|
Subject: | Hedgefonds | Hedge fund | Betafaktor | Beta risk | Zustandsraummodell | State space model | Modellierung | Scientific modelling |
-
Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel, (2018)
-
The macroeconomic drivers in hedge fund beta management
Lambert, Marie, (2020)
-
Weisang, Guillaume, (2011)
- More ...
-
Risk management lessons from Madoff fraud
Clauss, Pierre, (2008)
-
Tracking problems, hedge fund replication, and alternative beta
Roncalli, Thierry, (2011)
-
Weisang, Guillaume, (2011)
- More ...