Whether hedge fund returns could be attributed to systematic risk exposures rather than managerial skills is an interesting debate among academics and practitioners. Academic literature suggests that hedge fund performance is mostly determined by alternative betas, which justifies the...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe ‘style analysis' where we augment the objective function with a penalty proportional to the sum of the absolute...

This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard à la Sharpe “style analysis” by introducing a constraint on the asset weights 1-norm and 2-norm. This constraint regularizes...