Wavelet multiscale analysis for Hedge Funds: Scaling and strategies

@inproceedings{Conlon2008WaveletMA,
  title={Wavelet multiscale analysis for Hedge Funds: Scaling and strategies},
  author={Thomas Conlon and Martin Crane and Heather J. Ruskin},
  year={2008}
}
The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated using monthly returns data, which may produce misleading results as Hedge Funds often hold illiquid… CONTINUE READING

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