Sökning: "Frank Hartman"

Hittade 1 uppsats innehållade orden Frank Hartman.

  1. 1. Factor-Based Hedge Fund Replication Using Exchange-Traded Funds

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Frank Hartman; Constantijn Huigen; [2017]
    Nyckelord :Hedge Funds; Replication; Factor Model; Exchange-Traded Funds;

    Sammanfattning : This paper studies the performance of factor-based hedge fund replication. We use monthly data of nine exchange-traded funds to estimate clone portfolios over the sample period 2008-2016 for eleven different hedge fund indices. LÄS MER