A note on statistical models for individual hedge fund returns

DOI10.1007/S00186-008-0251-8zbMath1164.91050OpenAlexW2074825407MaRDI QIDQ1028542

Daisuke Yokouchi, Yoshimitsu Aoki, Ryozo Miura

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0251-8

zbMATH Keywords

Sharpe ratiohedge fundreturn distributionoption-like naturerolling autoregression

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

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