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Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
Hedge funds performance asset pricing models unobserved components models
2010/9/7
We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econom...
Investment Funds: What Next?
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...