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- W1613039930 abstract "In this paper, we develop a dynamic style analysis model designed to identify hedge fund risk structures. Through the estimation of implied risk exposures, it reconciles the concepts of dynamics and non-linearity. We show that our model, coupled with specific estimation and selection methods, deliver significant results in identifying complex and non-linear risk exposures, such as straddle-like exposures implied by trend following strategies. Applied at the individual fund level, our dynamic model exhibit superior explanatory power in comparison to Asset-Based Style Factor models proposed in previous literature. The dynamic risk structures estimated are in line with the investment strategies that are specific to the various hedge fund styles." @default.
- W1613039930 created "2016-06-24" @default.
- W1613039930 creator A5051531859 @default.
- W1613039930 date "2009-01-01" @default.
- W1613039930 modified "2023-10-16" @default.
- W1613039930 title "A Dynamic Style Analysis Model for Hedge Funds" @default.
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- W1613039930 doi "https://doi.org/10.2139/ssrn.1485337" @default.
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