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Trend-following hedge funds and multi-period asset allocation
Dries Darius
, Aytac Ilhan
,
John Mulvey
, Koray D. Simsek
,
Ronnie Sircar
Operations Research & Financial Engineering
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
:
Contribution to journal
›
Article
›
peer-review
9
Scopus citations
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Keyphrases
Dynamic Portfolio
50%
Efficient Frontier
50%
Hedge Funds
100%
Investor Performance
50%
Multi-period Asset Allocation
100%
Portfolio Model
50%
Risk-adjusted Returns
50%
Trend Following
100%
Trend-following Strategy
100%
Volatility
50%
Economics, Econometrics and Finance
Investors
100%
Portfolio Selection
100%
Volatility
50%