Serge Darolles, Mathieu Vaissié: We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
DRM-Université Paris Dauphine
Head of Research, Ginjer AMResearch Associate, EDHEC-Risk Institute
|Type :||Working paper|
|Date :||le 14/04/2014|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|