Hedge Fund Index Tracking
نویسندگان
چکیده
This chapter reviews some important innovations in quantitative strategies for investment management. We summarize the advantages and limitations of applying cointegration and principal component analysis to portfolio construction. Empirical examples show that by exploiting the presence of common factors, both models can significantly enhance traditional optimization strategies. More important, such strategies can be used successfully both for traditional investments such as equities and for optimizing more complex portfolios such as funds of hedge funds.
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تاریخ انتشار 2005