Tracking hedge funds returns using sparse clones

DOI10.1007/S10479-016-2371-5MaRDI QIDQ1621921zbMATH OpenOpenAlexFDO

Authors Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini, Vincent Weber

Publication date 12 November 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-016-2371-5

zbMATH Keywords

Lassoalternative betashedge fund replicationlog-penalty regressionstyle analysis

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Hedge fund replication: a model combination approach
• Sparse index clones via the sorted \(\ell_1\)-norm
• Nonparametric assessment of hedge fund performance
• Dynamic risk exposures in hedge funds
• Fit for leverage -- modelling of hedge fund returns in view of risk management purposes

Cites work

• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• 10.1162/153244303322753751
• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Cardinality versus \(q\)-norm constraints for index tracking
• Constructing optimal sparse portfolios using regularization methods
• Estimating the dimension of a model
• Introduction to risk parity and budgeting
• Machine learning. A probabilistic perspective
• Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• Sparse and stable Markowitz portfolios
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(6)

• Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model
• Sparse index clones via the sorted \(\ell_1\)-norm
• Penalized enhanced portfolio replication with asymmetric deviation measures
• A Bayesian learning model of hedge fund performance
• Hedge fund replication: a model combination approach
• Genetic algorithm versus classical methods in sparse index tracking

Describes a project that uses

Uses Software

• PMTK

This page was built for publication: Tracking hedge funds returns using sparse clones

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1621921)