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In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs
Jun Duanmu
,
Yongjia Li
, Alexey Malakhov
University of Arkansas
Research output
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Contribution to conference
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Dive into the research topics of 'In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs'. Together they form a unique fingerprint.
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Keyphrases
Hedge Funds
100%
Hedge Fund Returns
100%
Missing Risk Factor
100%
Exchange-traded Funds
100%
Risk Factors
50%
Risk-adjusted Performance
50%
Selection Strategy
25%
Potential Risk Factors
25%
Failure to Deliver
25%
Risk Exposure
25%
Risky Driving
25%
Positive Risk
25%
Accuracy Increase
25%
Factor Model
25%
Potential Space
25%
Fund Returns
25%
Replication Accuracy
25%
Sample Return
25%
Factor Selection
25%
Fund Risk
25%
Return Patterns
25%
Economics, Econometrics and Finance
Risk Factor
100%
Index Derivative
100%
Investors
25%
Factor Model
25%