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Dynamic hedge fund portfolio construction: A semi-parametric approach
Richard D.F. Harris
,
Murat Mazibas
Research output
:
Contribution to journal
›
Article
›
peer-review
30
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Citations (Scopus)
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Dive into the research topics of 'Dynamic hedge fund portfolio construction: A semi-parametric approach'. Together they form a unique fingerprint.
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Keyphrases
Portfolio Construction
100%
Fund Portfolio
100%
Hedge Funds
100%
Semi-parametric Approach
100%
CDARS
100%
Conditional Value at Risk
60%
Omega Model
40%
CVaR Model
40%
Monte Carlo Simulation
20%
Investment Strategy
20%
Risk-adjusted
20%
Risk Estimation
20%
Extreme Value Theory
20%
Portfolio Performance
20%
Optimization Model
20%
Non-parametric Approach
20%
Nonparametric Estimation
20%
Semi-parametric
20%
Risk-return Relation
20%
Alternative Optimization
20%
Mean-variance Optimization
20%
Mean-variance Model
20%
Risk Limit
20%
Optimization Framework
20%
Semiparametric Estimation
20%
Target Return
20%
Parametric Approach
20%
Mean-variance Optimization Model
20%
Fund Investment
20%
Target Choice
20%
Copula
20%
Economics, Econometrics and Finance
Investment Strategies
100%
Portfolio Selection
100%
Value Theory
100%
Extreme Value
100%
Monte Carlo Simulation
100%
Mathematics
Parametric
100%
Conditional Value At Risk
83%
Mean-Variance
50%
Monte Carlo
16%
Extreme Value Theory
16%
Nonparametric Estimation
16%
Semiparametric Estimation
16%
Copula
16%
Limit Risk
16%
Sample Size Estimation
16%