A stochastic-difference-equation model for hedge-fund returns

DOI10.1080/14697680903200739zbMath1194.91198OpenAlexW2063208862MaRDI QIDQ2786276

Ward Whitt, Emanuel Derman, Kun Soo Park

Publication date: 21 September 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903200739

zbMATH Keywords

heavy-tailed distributionsmodel calibrationstochastic difference equationhedge fund performancepersistence of returnsTASS hedge-fund database

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups

Cites Work

• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The stochastic equation Y_t+1 = A_tY_t + B_t with non-stationary coefficients
• A Concordance Correlation Coefficient to Evaluate Reproducibility
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Approximation Theorems of Mathematical Statistics
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Portfolio choice and the Bayesian Kelly criterion
• Stability of linear stochastic difference equations in strategically controlled random environments
• The Kolmogorov-Smirnov Test for Goodness of Fit

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