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  • Search: subject:"numerical algorithms (SIS"
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Bayes filter 1 GPP 1 Kalman filter 1 SIR and RPF) 1 alpha 1 alternative beta 1 global tactical asset allocation 1 hedge fund replication 1 kurtosis 1 non-linear exposure 1 numerical algorithms (SIS 1 particle filter 1 skewness 1 tracking problem 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Roncalli, Thierry 1 Weisang, Guillaume 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Tracking problems, hedge fund replication and alternative beta
Roncalli, Thierry; Weisang, Guillaume - Volkswirtschaftliche Fakultät, … - 2008
As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, it faced many critics. In this paper, we consider three of the main critiques, namely the...
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