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Hedge Fund Replication: Does Model Combination Help?

In: Hedge Fund Replication

Author

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  • Jérôme Teïletche

Abstract

Hedge fund replication is one of the best-known innovations of the asset management industry in the recent years. Despite some early skepticism from both practitioners and the academic world (see Amenc et al., 2008), hedge fund clones appear to have been successful in meeting their replication objectives, though they are still struggling to raise significant assets.1 In practice, even if at least three alternative approaches are in competition (Jaeger, 2007; Kat, 2007), the industry remains mainly organized around factor-based models.2

Suggested Citation

  • Jérôme Teïletche, 2012. "Hedge Fund Replication: Does Model Combination Help?," Palgrave Macmillan Books, in: Greg N. Gregoriou & Maher Kooli (ed.), Hedge Fund Replication, chapter 2, pages 15-29, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-35831-7_2
    DOI: 10.1057/9780230358317_2
    as

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