We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify...

We point out that Bayesian inference on the basis of a given sample is not always possible with continuous sampling models, even under a proper prior. The reason for this paradoxical situation is explained, and linked to the fact that any dataset consisting of point observations has zero...