Titlebook: Hedge Fund Replication; Greg N. Gregoriou (Professor of Finance),Maher Koo Book 2012 Palgrave Macmillan, a division of Macmillan Publisher

带来

Hedge Fund Return Replication via Learning Models,rong after the 2008 experience—when the industry posted losses of 20 percent—the fact is that inflows continue at a robust pace driven by ongoing commitments from institutions. Hedge fund investing is now the status quo.

不可思议

transient-pain

吗啡

Factor-Based Hedge Fund Replication with Risk Constraints,ere was a reduction both in the number of hedge funds and in their average level of leverage during the credit crisis of 2007–8, today total hedge fund investment amounts to $2.4 trillion (Stowell, 2010). In parallel with this rapid growth in the hedge fund industry, there has been increased demand

Fibrin

barium-study

Benchmarking of Replicated Hedge Funds,07, the hedge fund industry had grown to more than $2.8 trillion in assets. As it grew, so did the complexity of hedge fund management. Ongoing innovations, entry into new markets, and creative trading strategies have made it more and more difficult for investors to understand the market behavior of

勤勉

,Insight—Distributional Hedge Fund Replication via State Contingent Stochastic Dominance,h an active market for replication—and alternative beta products. Its theoretical concepts were translated into market applications early on, generating wide interest among investors, even though the resulting products did not always perform to expectations. In Section 6.2 we comment on the evolutio

LUCY

Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Applicrformance of hedge funds (HF) and HF replication indices. Recently, production frontier methods have been used in this field (e.g., Gregoriou, Sedzro, and Zhu, 2005), since they do not require the specification of a benchmark (such as in standard multifactor models) and they do not assume any statis

IRS

Hedge Fund Cloning through State Space Models,sion analysis, by which an investment fund’s return can be expressed as a function of (Fung and Hsieh, 1997): (1) where it trades (asset class-driven returns), (2) how it trades (strategy-driven returns), and (3) how much it trades (leverage-driven returns).

NOT

Hedge Fund Return Replication via Learning Models,n “asset class.” After all, if the same return stream produced by hedge funds is available with greater liquidity, more transparency, and the avoidance of excessive fees, then a synthetic substitute offers tremendous appeal. While an impartial observer might question why hedge fund demand remains st