The tactical and strategic value of hedge fund strategies: a cointegration approach
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 21 (2007)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=119763
Hedge fund strategies; Stock markets; Tactical and strategic asset allocation; Portfolio optimization; Multivariate cointegration analysis; Johansen test; C32; G11; G15;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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