Noël Amenc, Lionel Martellini: This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection.
Professor of Finance, EDHEC Graduate School of BusinessHead of Research, Misys Asset Management Systems
Assistant Professor of Finance, Marshall School of Business
|Type :||Working paper|
|Date :||le 01/01/2003|
|Complément d'informations||For more information, please contact EDHEC Research and Development Department [ email@example.com ]|
|Pôle de recherche||Finance|