A Note on Statistical Models for Individual Hedge Fund Returns

Publisher: Graduate School of International Corporate Strategy, Hitotsubashi University

Related materials as well as pre- and post-revision versions

The definitive version was published in MMOR, 69, (2009)　issue 3. (DOI:10.1007/s00186-008-0251-8)

Mathematical Methods of Operation Research 69 (2009), issue 3　に掲載

Detailed bibliographic record

Summary, etc.：: In recent years, a large number of research papers and monographson the analysis of hedge fund returns have been published. Typically, the authors of ...

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Material Type: 文書・図像類
Title: A Note on Statistical Models for Individual Hedge Fund Returns
Author/Editor: 三浦, 良造
青木, 義充
横内, 大介
Author Heading: 三浦, 良造
https://nrid.nii.ac.jp/nrid/1000030107081/
青木, 義充
横内, 大介
https://nrid.nii.ac.jp/nrid/1000050407144/
Publication, Distribution, etc.: Graduate School of International Corporate Strategy, Hitotsubashi University
Publication Date: 2008-07
Publication Date (W3CDTF): 2008-07
Text Language Code: eng
Subject Heading: Hedge Fund
Return Distribution
Rolling Autoregression
Option-like Nature
Sharpe Ratio
Target Audience: 一般
Related Material: The definitive version was published in MMOR, 69, (2009)　issue 3. (DOI:10.1007/s00186-008-0251-8)
Mathematical Methods of Operation Research 69 (2009), issue 3　に掲載
Periodical Title: ICS Working Paper ; Series No. FS-2008-E-01
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources