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Frontiers of Engineering Management >> 2020, Volume 7, Issue 2 doi: 10.1007/s42524-020-0095-3
Option-like properties in the distribution of hedge fund returns
. Mathematical Finance, Technical University of Munich, Munich D-80333, Germany.. Portfolio Analytics & Management, Sigma Analysis & Management Ltd., Toronto, ON M5G1M1, Canada.. Department of Mathematics, University of Toronto, Toronto, ON M5S1A1, Canada.. Investments & Risk Analytics, Sigma Analysis & Management Ltd., Toronto, ON M5G1M1, Canada
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hedge funds ; hedge fund index ; segmented linear regression models ; regime-switching models ; mimicking portfolios ; single factor-based hedge fund replication ; equity long–short strategy
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