Publications [#338594] of David A. Hsieh

Chapters in Books

  1. Hsieh, DA, What Can Central Bankers Learn from Hedge Fund Replication Strategies? (January, 2009), pp. 331-347
    (last updated on 2021/12/08)

    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