Ultrametricity in fund of funds diversification
Minimum market transparency requirements impose hedge fund (HF) managers to use the statement declared strategy in practice. However, each declared strategy may actually generate a multiplicity of implemented management decisions. Is then the “actual ” strategy the same as the “announced” strategy? Can the actual strategy be monitored or compared to the actual strategy of HF belonging to the same “announced” class? Can the announced or actual strategy be used as a quantitative argument in the fund of funds policy? With the appropriate metric, it is possible to draw a minimum spanning tree (MST) to emphasize the similarity structure that could be hidden in the raw correlation matrix of HF returns.
Volume (Year): 344 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R. Mantegna, 1999.
"Hierarchical structure in financial markets,"
The European Physical Journal B: Condensed Matter and Complex Systems,
Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- Rosario N. Mantegna, 1998. "Hierarchical Structure in Financial Markets," Papers cond-mat/9802256, arXiv.org.
- V. Plerou & P. Gopikrishnan & B. Rosenow & L. A. N. Amaral & T. Guhr & H. E. Stanley, 2001. "A Random Matrix Approach to Cross-Correlations in Financial Data," Papers cond-mat/0108023, arXiv.org. Full references (including those not matched with items on IDEAS)