Miura, Ryozo; Aoki, Yoshimitsu; Yokouchi, Daisuke - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 553-577
In recent years, a large number of research papers and monographs on the analysis of hedge fund returns have been published. Typically, the authors of these studies implicitly or explicitly treat monthly returns of hedge funds as independent and identically distributed observations. The Hedge...
