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Author Géhin, Walter
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Business Analyst ♦ Ab Factor ♦ Misys Asset Management System ♦ Rb Factor ♦ Privileged Relationship ♦ Explanatory Power ♦ Convertible Arbitrage ♦ Edhec Business School ♦ Trend Following ♦ Active Research Policy ♦ Significant Factor ♦ Fund Return ♦ Risk Arbitrage ♦ Extensive Knowledge ♦ Asset-based-style Factor ♦ Ab Style Factor ♦ Asset Management Research Centre ♦ High Quality ♦ Permanent Lecturer ♦ Academic Staff ♦ Hedge Fund ♦ Professional Environment ♦ Diversified Portfolio ♦ Equity Long Short ♦ Return-based Style Factor ♦ Business School ♦ Extensive Literature
Abstract The goal of modelling is to find one or more factors that offer the best explanatory power for a given variable. Applied to hedge fund returns, it allows their sources to be better understood. In the search for significant factors, two approaches can be employed, namely return-based style factors (RBS factors) and asset-based-style factors (ABS factors). This paper proposes an overview of the extensive literature dedicated to RBS and ABS style factors by describing approaches that identify ABS factors in four strategies (Convertible Arbitrage, Equity Long/Short, Risk Arbitrage and Trend Following), examining studies that deduce ABS factors from RBS factors, and summarising a method for modelling the returns of a diversified portfolio of hedge funds. Edhec is one of the top five business schools in France owing to the high quality of its academic staff (100 permanent lecturers from France and abroad) and its privileged relationship with professionals that the school has been developing since its establishment in 1906. Edhec Business School has decided to draw on its extensive knowledge of the professional environment and has therefore concentrated its research on themes that satisfy the needs of professionals. Edhec pursues an active research policy in the field of finance. Its “Risk and Asset Management Research Centre ” carries
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2006-01-01