| Publications [#338594] of David A. Hsieh
Chapters in Books
- Hsieh, DA, What Can Central Bankers Learn from Hedge Fund Replication Strategies?
(January, 2009),
pp. 331-347
(last updated on 2025/07/06)
Abstract: AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market factorsExposures of Large Hedge Funds Using Monthly ReturnsThe effects of serial correlation in hedge fund returnsExposure of average hedge fundsCorroboration of Exposures Using Daily Investible IndicesConclusionReferences
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