Predictability in Hedge Fund Returns (corrected)-Reference-Cited by-同舟云学术

Predictability in Hedge Fund Returns (corrected)

Published:2003-09 Issue:5 Volume:59 Page:32-46
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Amenc Noël¹,El Bied Sina²,Martellini Lionel³

Affiliation:

1. Noël Amenc is professor of finance at EDHEC Graduate School of Business, Lille/Nice, France, and head of research at Misys Asset Management Systems, Sophia-Antipolis, France.

2. Sina El Bied is quantitative analyst in the alternative investment group at BNP-Paribas Asset Management, Paris.

3. Lionel Martellini is an assistant professor in finance at the Marshall School of Business, University of Southern California, Los Angeles.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v59.n5.2562

Reference50 articles.

1. Variable Selection for Portfolio Choice

2. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis

3. Portfolio Optimization and Hedge Fund Style Allocation Decisions

4. Investing for the Long Run when Returns Are Predictable

5. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

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