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Inverse Problems in Science and Engineering Volume 18, 2010 - Issue 1: Proceedings of the 4th International Conference on Inverse Problems: Modelling and Simulation, May 26th–30th, 2008, held in Fethiye, Turkey
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Original Articles

Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood

Paolo CapelliAkros Alternative Investments SGR, Viale Eginardo 29, 20149 Milano, Italy
,
Francesca MarianiCERI- Centro di Ricerca Previsione Prevenzione e Controllo dei Rischi Geologici, Università di Roma ‘La Sapienza’, Piazza Umberto Pilozzi 9, 00038 Valmontone (RM), Italy
,
Maria Cristina RecchioniDipartimento di Scienze Sociali ‘D. Serrani’, Università Politecnica delle Marche, Piazza Martelli 8, 60121Ancona, Italy
,
Fabio SpinelliInvestment Advisor, Piazza Giovanni Paolo II 15, 22100 Como, Italy
&
Francesco ZirilliDipartimento di Matematica ‘G. Castelnuovo’, Università di Roma ‘La Sapienza’, Piazzale Aldo Moro 2, 00185 Roma, Italy
Pages 83-109 | Received 15 Oct 2008, Accepted 29 May 2009, Published online: 08 Oct 2009

References

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