Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed

We propose an estimation technique that directly utilizes irregularly spaced observations to investigate the statistical properties of irregularly observed monetary values of a fund under management. The contribution of our paper is that we provide a statistically enhanced and more detailed method that improves the existing likelihood based techniques developed in other fields in estimating the parameters of irregularly spaced observations.
JEL classification: C51; C58; G23.
Keywords: Fund Value under Management; Heteroskedasticity; Irregularly Spaced Time Series; Ornstein Uhlenbeck; Return Distribution.