Kay Eichhorn-Schott

EBS Universität für Wirtschaft und Recht

Student

Gustav-Stresemann-Ring 3

Wiesbaden, Hessen 65189

Germany

  • EBS Universität für Wirtschaft und Recht

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Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini and Vincent Weber
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
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Abstract:

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Hedge Fund Replication, Sharpe Style Analysis, LASSO Regression, Alternative Betas