Statistical Methods in Finance 2024
Novel Techniques in Economic and Business Statistics in the Era of Gen AI
December 17 to 21, 2024
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Abstract
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Using Liquid Factors to Analyze Illiquid Funds
By: Dale R. W. Rosenthal |
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While we have had success analyzing liquid investments with a liquid factors approach, what happens when we use these liquid factors to analyze illiquid funds? A few methods to handle illiquidty are explored and we see how these lead to questions of what sort of risk management we prefer. |