Hedge fund replication: a model combination approach

DOI10.1093/ROF/RFW037MaRDI QIDQ4555692zbMATH OpenOpenAlexFDO

Authors

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/c17f49c0b6a6b63e089cd70facc60594c5228593

zbMATH Keywords

hedge fund replicationhedge fundslog scoremodel combinationmodel poolingportfolio allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• A note on statistical models for individual hedge fund returns
• Tracking hedge funds returns using sparse clones
• Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
• Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach
• Covariance estimation and algorithm implementation of hedge fund distributional-replicating approach
• Index tracking with utility enhanced weighting
• Penalized enhanced portfolio replication with asymmetric deviation measures

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