The alpha and omega of fund of hedge fund added value
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DOI: 10.1016/j.jbankfin.2011.10.021
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Cited by:
- Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
- Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
- Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2021.
"Testing for structural breaks in return-based style regression models,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 61-76, March.
- Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2020. "Testing for Structural Breaks in Return-Based Style Regression Models," Working papers 2020rwp-165, Yonsei University, Yonsei Economics Research Institute.
- Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
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More about this item
Keywords
Funds of hedge funds; Performance attribution model; Strategic allocation; Active management; Kalman filter;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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