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Factor selection in dynamic hedge fund replication models : a Bayesian approach

Weisang, Guillaume - In: Bayesian model comparison, (pp. 181-222). 2014

Persistent link: https://www.econbiz.de/10010465205

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

The macroeconomic drivers in hedge fund beta management

Lambert, Marie; Platania, Federico - In: Economic modelling 91 (2020), pp. 65-80

Persistent link: https://www.econbiz.de/10012429017

Is it alpha or beta? : decomposing hedge fund returns when models are misspecified

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - In: Journal of financial economics 154 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072088

A Robust Approach to Misspecifications and Non Linearities for Hedge Fund Replication and Alternative Beta

Weisang, Guillaume - 2011

This paper explores a linear hedge fund replication and alternative beta methodology that is robust to the presence of non linearities and the possibility of model mis-specification. In a fashion similar to Roncalli and Weisang (2009a), the problem is cast as a tracking problem in order to allow...

Persistent link: https://www.econbiz.de/10013133167