This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
University of Liège, HEC Liège
Research Associate, EDHEC-Risk Institute
Pôle Universitaire Léonard de Vinci, Paris-La Défense
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
Type : | Working paper |
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Date : | le 11/09/2017 |
Pôle de recherche | Finance |