Attribution of hedge fund returns using a Kalman filter
Year of publication: |
February 2018
|
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Authors: | Thomson, Daniel ; Van Vuuren, Gary |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 9, p. 1043-1058
|
Subject: | Kalman filter | CAPM | alpha | beta | market timing | Hedgefonds | Hedge fund | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Betafaktor | Beta risk |
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