On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters: 1. Stratanovich Kalman Bucy Filters for Gaussian Linear Investment Returns Distribution and 2. Particle Filters for Non-Gaussian Non-Linear Investment Returns Distribution
Abstract:-The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund's optimal investment portfolio strategies selection in the global capital markets with the nonlinearities. We provide a definition for the hedge fund, describe the hedge fund's organization structures and characteristics, discuss the hedge fund's optimal investment portfolio strategies and revie… Show more
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