/Hedge-Fund-Replication

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Hedge-Fund-Replication

This project aims to replicate the returns of the mains hedge fund indexes using Kalman filters and Risk Premias.

First part - state of the art on classical methods

we first try to replicate the HFRX Equity Neutral Index with a simple OLS regression on various benchmark such as the SX5E, DAX, FSTE etc ... the result can be found in this notebook