What Can Central Bankers Learn from Hedge Fund Replication Strategies?
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Hsieh, DA
January 2009
AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market factorsExposures of Large Hedge Funds Using Monthly ReturnsThe effects of serial correlation in hedge fund returnsExposure of average hedge fundsCorroboration of Exposures Using Daily Investible IndicesConclusionReferences
Duke Scholars
Publication Date
January 2009
Start / End Page
331 / 347
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Hsieh, D. A. (2009). What Can Central Bankers Learn from Hedge Fund Replication Strategies? (pp. 331–347).
Hsieh, David A. “What Can Central Bankers Learn from Hedge Fund Replication Strategies?,” 331–47, 2009.
Hsieh DA. What Can Central Bankers Learn from Hedge Fund Replication Strategies? In 2009. p. 331–47.
Hsieh, David A. What Can Central Bankers Learn from Hedge Fund Replication Strategies? 2009, pp. 331–47.
Hsieh DA. What Can Central Bankers Learn from Hedge Fund Replication Strategies? 2009. p. 331–347.
Publication Date
January 2009
Start / End Page
331 / 347