transparency, and lockup periods typically associated with hedge funds. Hedge fund replication products, or clones, seek to answer … offer lower risk-reward performance compared to hedge funds. This research explores hedge fund replication further by …

transparency, and lockup periods typically associated with hedge funds. Hedge fund replication products, or clones, seek to answer … offer lower risk-reward performance compared to hedge funds. This research explores hedge fund replication further by …

chapter, a method for hedge fund replication is proposed that uses a factor-based model supplemented with a series of risk and …

January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund … replication strategies (HFRS). We show that IHFIs are true alternative beta products with high correlations and beta to …

January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund … replication strategies (HFRS). We show that IHFIs are true alternative beta products with high correlations and beta to …

financial literature on hedge fund replication; in this case, X is the market return, Y is the return from a hedge fund or other …

As hedge fund replication based on factor models has encountered growing interest among professionals and academics … paper, we consider three of the main critiques, namely the lack of reactivity of hedge fund replication and its deficiency … problems, we consider hedge fund replication as a general tracking problem which may be solved by means of Bayesian filters …