Dynamic hedge fund portfolio construction
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- repec:eee:joecas:v:11:y:2014:i:c:p:58-77 is not listed on IDEAS
- Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.
- repec:eee:finana:v:56:y:2018:i:c:p:221-237 is not listed on IDEAS
- Harris, Richard D.F. & Mazibas, Murat, 2013. "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 139-149.
More about this item
KeywordsHedge fund returns Funds of funds Multivariate conditional volatility Portfolio optimisation;
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