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A Note on Statistical Models for Individual Hedge Fund Returns
http://hdl.handle.net/10086/15844
http://hdl.handle.net/10086/158440d9d0afd-c641-4593-a8a0-6c0a15159bee
| Item type | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2010-05-19 | |||||||||
| タイトル | ||||||||||
| タイトル | A Note on Statistical Models for Individual Hedge Fund Returns | |||||||||
| 言語 | en | |||||||||
| 作成者 |
三浦, 良造
× 三浦, 良造× 青木, 義充
× 横内, 大介 |
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| アクセス権 | ||||||||||
| アクセス権 | metadata only access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Hedge Fund | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Return Distribution | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Rolling Autoregression | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Option-like Nature | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Sharpe Ratio | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | In recent years, a large number of research papers and monographson the analysis of hedge fund returns have been published. Typically, the authors of these studies implicitly or explicitly treat monthly returns of hedge funds as independent and identically distributed observations. The Hedge Fund Index might be able to serve that role. But the returns of an individual hedge fund are not like that. They behave autoregressively depending on the time periods. This stochastic behavior should be modeled as a combined/regime switching stochastic process of two processes: i.i.d. process and autoregressive process. This paper first depicts the autoregressiveness of hedge fund returns. Then we introduce our statistical model for returns of an individual hedge fund and then, with our retrospective view, we perform several data analyses for individual hedge funds’return data. | |||||||||
| 言語 | en | |||||||||
| 出版者 | ||||||||||
| 出版者 | Graduate School of International Corporate Strategy, Hitotsubashi University | |||||||||
| 日付 | ||||||||||
| 日付 | 2008-07 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | NA | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isPartOf | |||||||||
| 関連名称 | The definitive version was published in MMOR, 69, (2009) issue 3. (DOI:10.1007/s00186-008-0251-8) | |||||||||
| 関連情報 | ||||||||||
| 関連名称 | Mathematical Methods of Operation Research 69 (2009), issue 3 に掲載 | |||||||||
| 関連情報 | ||||||||||
| 関連名称 | ICS Working Paper ; Series No. FS-2008-E-01 | |||||||||
