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DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES · Study

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ArticleDYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES

Laurent Bodson2008

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Articlegreen2008

DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES

Laurent Bodson · Alain Coën · Georges Hübner

20 citations·0/0 files stored·The Journal of Financial Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers 2004Hedge Fund Benchmarks: A Risk-Based Approach 2004An econometric model of serial correlation and illiquidity in hedge fund returns

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Year2008

Typearticle

Published2008-01-01

VenueThe Journal of Financial Research

ISSN-L0270-2592

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1475-6803.2010.01268.x

openalex_workW3125582787

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