Showing 1 - 8 of 8
Purpose – Hedge fund replication gained considerable attention during the period surrounding 2007 when it was anticipated to become for hedge fund investors what index funds are for equity investors. The hedge fund replication concept only lacked a track record. This paper aims to present an...
Persistent link: https://www.econbiz.de/10014940216
Purpose – Hedge fund replication gained considerable attention during the period surrounding 2007 when it was anticipated to become for hedge fund investors what index funds are for equity investors. The hedge fund replication concept only lacked a track record. This paper aims to present an...
Persistent link: https://www.econbiz.de/10010691520
Persistent link: https://www.econbiz.de/10000906342
Persistent link: https://www.econbiz.de/10000946875
Persistent link: https://www.econbiz.de/10000946877
Persistent link: https://www.econbiz.de/10001221483
This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...
Persistent link: https://www.econbiz.de/10010337996
Persistent link: https://www.econbiz.de/10003608131