Exercise 10 9 For the replication of hedge funds indices, suppose that there are constraints on the values of the positions , for example p j 1 (j) i 2 Can you still use the Kalman filter What should you do in this case ...

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Exercise 10.9 For the replication of hedge funds indices, suppose that there are constraints on the values

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Exercise 10.9 For the replication of hedge funds indices, suppose that there are constraints on the values of the positions β, for example p j=1

β(j)

≤ 2. Can you still use the Kalman filter? What should you do in this case?

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 07:00 AM

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Exercise 10.9 For the replication of hedge funds indices, suppose that there are constraints on the values

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Statistical Methods For Financial Engineering

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