This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this paper demonstrates that signal processing techniques are an interesting...

Research in hedge fund investing proposes different solutions to build optimal hedge fund portfolios. However, these solutions are direct extensions of the usual meanvariance framework, and still suffer from model risks. More complex approaches start to be used but are related to numerous...

This paper develops a dynamic approach for assessing hedge fund risk exposures. First, we focus on an approximate factor model framework to deal with the factor selection issue. Instead of keeping the number of factors unchanged, we apply Bai and Ng (2002, 2006) to select the appropriate factors...