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- W4296266585 abstract "Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the actual strategy the same as the announced strategy? Can the actual strategy be monitored or compared to the actual strategy of HF belonging to the same announced class? Can the announced or actual strategy be used as a quantitative argument in the fund of funds policy? With the appropriate metric, it is possible to draw a minimum spanning tree (MST) to emphasize the similarity structure that could be hidden in raw correlation matrix of HF returns." @default.
- W4296266585 created "2022-09-19" @default.
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- W4296266585 date "2003-12-12" @default.
- W4296266585 modified "2023-10-16" @default.
- W4296266585 title "Ultrametricity in Fund of Funds Diversification" @default.
- W4296266585 doi "https://doi.org/10.48550/arxiv.cond-mat/0312312" @default.
- W4296266585 hasPublicationYear "2003" @default.
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