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  1. SSMSパブリケーション
  2. Vol.05

Style Analyses of Desirable Hedge Fund Strategies for Actual Investors

http://hdl.handle.net/10173/1764
http://hdl.handle.net/10173/1764
d96ca363-7c97-4c36-8418-30b89f3540f9
名前 / ファイル ライセンス アクション
SMS09-136.pdf SMS09-136.pdf (326.1 kB)
Item type 会議発表論文 / Conference Paper(1)
公開日 2018-02-06
タイトル
タイトル Style Analyses of Desirable Hedge Fund Strategies for Actual Investors
言語
言語 eng
キーワード
主題Scheme Other
主題 Prospect Ratio
キーワード
主題Scheme Other
主題 GMM
キーワード
主題Scheme Other
主題 AIC
キーワード
主題Scheme Other
主題 SIC
資源タイプ
資源タイプ識別子 http://purl.org/coar/resource_type/c_5794
資源タイプ conference paper
著者 Watanabe, Yasuaki

× Watanabe, Yasuaki

WEKO 2583

Watanabe, Yasuaki

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抄録
内容記述タイプ Abstract
内容記述 We select the top four hedge fund strategies as desirable ones based on the Prospect Ratio in this paper, and we examine the risk factors of each hedge fund strategy to specify the source of return in the past ten years. We use multifactor models based on GMM analysis. And we use AIC (Akaike Information Criterion) and SIC (Schwarz Information Criterion) to resolve the problem to specify the valid exogenous variables in each strategy. The result shows that the selected model contains only significant exogenous variables in each strategy.
書誌情報 Society for Social Management Systems Internet Journal

巻 5, 号 1, 発行日 2009-03
ISSN
収録物識別子タイプ ISSN
収録物識別子 2432-552X
著者版フラグ
出版タイプ VoR
出版タイプResource http://purl.org/coar/version/c_970fb48d4fbd8a85
出版者
出版者 Society for Social Management Systems
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