Travail de recherche/Working paper
Titre:
  • Portfolio Optimization for Hedge Funds through Time-Varying Coefficients
Auteur:Dewaele, Benoît
Statut de publication:Publié, 2013-09-18
series:Working Papers CEB, 13-032
Sujet CREF:Economie
Sujet JEL:Single Equation Models; Single Variables: Time-Series Models
Portfolio Choice; Investment Decisions
Pension Funds; Other Private Financial Institutions; Institutional Investors
Volumes/pages:56 p.
Mots-clés:Hedge Funds
Time-Varying Coefficient Models
Alpha
Performance Persistence
Langue:Anglais
Identificateurs:RePEc:sol:wpaper:2013/149174