The tactical and strategic value of hedge fund strategies: A cointegration approach

Financial Markets and Portfolio Management

Volumn 21, Issue 4, 2007, Pages 425-444

  Füss, Roland ^a   Kaiser, Dieter G ^b  

^a UNIVERSITY OF FREIBURG   (Germany)

^b Feri Institutional Advisors GmbH   (Germany)

Author keywords

Hedge fund strategies; Johansen test; Multivariate cointegration analysis; Portfolio optimization; Stock markets; Tactical and strategic asset allocation

Indexed keywords

EID: 36048986653     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-007-0060-8     Document Type: Conference Paper

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