Estimating a Hedge Fund Return Model Based on a Small Number of Samples

DOI10.3138/infor.47.1.43MaRDI QIDQ6160195

Yuying Li, Thomas F. Coleman, Unnamed Author

Publication date: 9 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

zbMATH Keywords

factor modelshedge fundsmarket timingsupport vector regressionpredicabilityrobust model estimation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

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• Asset allocation and derivatives
• Reaching goals by a deadline: digital options and continuous-time active portfolio management

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