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Hedge fund performance evaluation using the Kalman filter
(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
(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 ...