Hedge Funds Performance Ratios Adjusted to Market Liquidity Risk
Year of publication: |
2011
|
---|---|
Authors: | Clauss, Pierre |
Published in: |
Journal of Financial Transformation. - Capco Institute. - Vol. 31.2011, p. 133-139
|
Publisher: |
Capco Institute |
Subject: | Market liquidity risk | Hedge funds | Sharpe ratio | Information ratio | Kalman Filter | Momentum |
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