Benutzer: Gast  Login
Titel:

A Fund of Hedge Funds under Regime Switching

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Saunders, D.; Seco, L.; Vogt, C.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
This article investigates the use of a regime-switching model of returns for the asset allocation decision of a fund of hedge funds. In each time period, returns follow a multi-variate normal distribution from one of two possible regimes, corresponding to periods of normal and distressed markets. The prevailing regime in any given period is determined by the value of a two-state Markov chain. The case where serial correlation is absent, and returns in di erent time periods are i.i.d. Gaussian mi...     »
Intellectual Contribution:
Contribution to Practice
Zeitschriftentitel:
The Journal of Alternative Investments
Jahr:
2013
Band / Volume:
15
Heft / Issue:
4
Seitenangaben Beitrag:
8-23
Reviewed:
ja
Sprache:
en
Status:
Erstveröffentlichung
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Ja
 BibTeX
Versionen