IEEE - Institute of Electrical and Electronics Engineers, Inc. - Replication and optimization of hedge fund risk factor exposures

ICASSP 2013 - IEEE International Conference on Acoustics, Speech and Signal Processing

Author(s): Douglas E. Johnston ; Inigo Urteaga ; Petar M. Djuric
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 May 2013
Conference Location: Vancouver, BC, Canada
Conference Date: 26 May 2013
Page(s): 8,712 - 8,716
ISBN (Electronic): 978-1-4799-0356-6
ISSN (Paper): 1520-6149
DOI: 10.1109/ICASSP.2013.6639367
Regular:

In this paper, we propose a novel approach for decomposing hedge fund returns onto observable risk factors. We utilize a vector stochastic-volatility model to extract the time-varying... View More

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