Hedge Fund Replication [electronic resource] /
Gregoriou, G.editor.
Kooli, M.editor.
While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication.
Description based upon print version of record.
Cover; Contents; List of Tables; List of Figures; Preface; Acknowledgments; Editor Biographies; Contributor Biographies; Chapter Overview; 1 Can We Really ""Clone"" Hedge Fund Returns? Further Evidence; 2 Hedge Fund Replication: Does Model Combination Help?; 3 Factor-Based Hedge Fund Replication with Risk Constraints; 4 Takeover Probabilities and the Opportunities for Hedge Funds and Hedge Fund Replication to Produce Abnormal Gains; 5 Benchmarking of Replicated Hedge Funds; 6 Insight-Distributional Hedge Fund Replication via State Contingent Stochastic Dominance
7 Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application8 Hedge Fund Cloning through State Space Models; 9 Hedge Fund Return Replication via Learning Models; 10 Linear Model for Passive Hedge Fund Replication; 11 Can Hedge Fund-Like Returns be Replicated in a Regulated Environment?; 12 A Factor-Based Application to Hedge Fund Replication; Index
Includes bibliographical references at the end of each chapters and index.
While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication.
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