Browsing Faculty of Natural and Agricultural Sciences by Author "84ed7ea0-48a9-444f-b413-803ffea62fd7"

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    • Hedge fund performance evaluation using the Kalman filter 

      Van Vuuren, G.; Yacumakis, R. (Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch., 2015)
      In the capital asset pricing model, portfolio market risk is recognised through β while α summarises asset selection skill. Traditional parameter estimation techniques assume time-invariance and use rolling-window, ordinary ...

    • Hedge fund performance evaluation using the Kalman filter 

      Van Vuuren, G.; Yacumakis, R. (Bureau for Economic Research (BER), 2015)
      In the capital asset pricing model, portfolio market risk is recognised through β while α summarises asset selection skill. Traditional parameter estimation techniques assume time-invariance and use rolling-window, ordinary ...