Portfolio optimization in hedge funds by OGARCH and Markov Switching Model-Reference-Cited by-同舟云学术

Portfolio optimization in hedge funds by OGARCH and Markov Switching Model

Published:2015-12 Issue: Volume:57 Page:34-39
ISSN:0305-0483
Container-title:Omega
language:en
Short-container-title:Omega

Author:

Luo Cuicui,Seco Luis,Wu Lin-Liang Bill^ORCID

Funder

National Natural Science Foundation of China (NSFC)

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Strategy and Management

Reference30 articles.

1. Risks and portfolio decisions involving hedge funds;Agarwal;Review of Financial studies,2004

2. Alexander C. A primer on the orthogonal Garch model. Manuscript ISMA Centre, The Business School for Financial Markets, University of Reading, UK; 2000.

3. Alexander C, Chibumba A. Multivariate orthogonal factor Garch. University of Sussex, Mimeo; 1997.

4. Portfolio selection for managerial control;Amihud;Omega,1974

5. Selecting portfolios for mutual funds;Ballestero;Omega,2004

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