Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach

DOI10.1108/S0731-905320140000034009zbMath1452.91314OpenAlexW2483125457MaRDI QIDQ5133548

Guillaume Weisang

Publication date: 10 November 2020

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000034009

zbMATH Keywords

model selectionKalman filtertracking problemfactor selectionhedge fund replicationalternative beta

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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