Dynamic hedge fund portfolio construction
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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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