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Factor-based replication of hedge funds using a state space model
It has been suggested that the Kalman filter technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones whic...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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